UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-8894
JNL Series Trust
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(Exact Name of Registrant as specified in charter)
1 Corporate Way, Lansing, Michigan 48951
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(Address of principal executive offices) (Zip code)
Susan S. Rhee
Jackson National Asset Management,LLC
1 Corporate Way
Lansing, Michigan 48951
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(Name and address of agent for service)
Registrant's telephone number, including area code: 517-381-5500
Date of Fiscal Year End: December 31
Date of Reporting period: December 31, 2004
Item 1. Report to Shareholders
JNL/AIM LARGE CAP GROWTH FUND
[INSERT LOGO] A I M CAPITAL MANAGEMENT
TEAM MANAGEMENT
OBJECTIVE:
JNL/AIM Large Cap Growth Fund seeks as its investment objective long-term
capital growth by investing primarily in securities of large companies with
market capitalizations in the top 50% of the Russell 1000 Index at the time of
purchase.
MONEY MANAGER COMMENTARY:
ECONOMIC OVERVIEW & OUTLOOK: In 2004, as the country focused on election year
politics and instability in Iraq, the equity markets posted gains, and the U.S.
economy grew at a healthy pace. Following a swift and decisive conclusion to the
presidential election, the markets surged, after posting only modest gains in
the months prior. For the year, the Dow Jones Industrial Average was up 5.31%,
the NASDAQ was up 8.59%, and the S&P 500 Index was up 10.88%. GDP growth for the
third quarter was revised to 4.0%, which was slightly ahead of expectations.
Estimates for fourth quarter GDP growth have ranged between 3-4%.
Manufacturing activity was robust as the widely recognized Institute for Supply
Management (ISM) Index remained above 60 in the first half of the year, and
after declining slightly, it stayed well above the expansion level of 50 in the
second half. Within these reports, the employment component of the index showed
signs of consistent improvement. In fact, the overall employment picture
improved throughout the year as the unemployment rate fell to 5.4% by the end of
December. Job creation improved in 2004, although the payroll figures were
volatile, ranging dramatically from month to month.
Consumer confidence got a boost from the improving employment situation, hitting
its highest level since 2002. The Conference Board's Index of Consumer
Confidence finished the year at 102.3, off its July peak, but still quite strong
due to a positive consumer outlook. Consumer spending also remained healthy,
despite rising energy costs and creeping inflation as indicated by higher prices
for staples such as milk and butter. Home sales remained healthy throughout the
year even as a series of interest rate increases began in June.
An economic expansion appears to be underway as corporate profits have
strengthened significantly, and the labor market has solidified. While there is
some concern about the viability of the consumer and another spike in oil
prices, many indicators point to economic health. In response to these factors,
the FOMC raised interest rates by a total 125 basis points in 2004, bringing the
Federal Funds rate to 2.25% by the end of the year. The Committee indicated that
more measured rate increases are expected in 2005, as they see evidence of
continued economic growth.
PERFORMANCE ANALYSIS: For 2004, the Fund's Class A shares posted a return of
9.99%, underperforming its benchmark, the Russell 1000 Growth Index, which
returned 11.40%. Portfolio managers concentrated positions in the consumer
discretionary, health care, industrials and information technology sectors.
The Fund's performance relative to the Russell 1000 Growth Index was largely due
to stock selection in the health care sector, as companies in the health care
providers and services industry performed particularly well on an absolute basis
in 2004. Stock selection and a relative overweight in the consumer discretionary
sector also benefited the Fund's performance. Within the sector, the household
durables industry provided the largest contribution to performance, as these
stocks posted double digit returns. Stock selection in the telecommunications
sector detracted from the Fund's performance.
During the year, portfolio managers increased the number of holdings in the
fund, bringing the total to 75 by then end of the year. In addition, managers
decreased exposure to the health care and information technology sectors and
increased positions in the consumer discretionary, consumer staples, and
industrials sectors.
We are optimistic that 2005 should be a good year for the Fund. They are
becoming increasingly more positive about the large cap space. Managers believe
that large caps may be poised to come back into favor due to the unpopularity of
large caps in the past several year, and valuations, which are increasingly more
compelling. They have begun to feel that after this long, tough period, the
outlook for large caps is decidedly more upbeat.
AVERAGE ANNUAL TOTAL RETURN
1 year 9.99%
Since inception 5.04%
(Inception date October 29, 2001).
date JNL/AIM Large Cap Growth Fund (Class A) Russell 1000 Index
10/29/2001 10,000.00 10,000.00
10/31/2001 10,080.00 9,832.00
11/30/2001 10,870.00 10,589.00
12/31/2001 10,970.00 10,701.00
01/31/2002 10,850.00 10,566.29
02/28/2002 10,240.00 10,355.67
03/31/2002 10,790.00 10,781.42
04/30/2002 10,060.00 10,163.63
05/31/2002 9,840.00 10,075.00
06/30/2002 9,230.00 9,331.93
07/31/2002 8,610.00 8,641.43
08/31/2002 8,620.00 8,686.13
09/30/2002 8,040.00 7,753.28
10/31/2002 8,480.00 8,397.43
11/30/2002 8,540.00 8,887.46
12/31/2002 8,176.13 8,384.37
01/31/2003 8,015.82 8,181.24
02/28/2003 8,075.93 8,054.64
03/31/2003 8,246.27 8,137.66
04/30/2003 8,707.18 8,794.68
05/31/2003 9,198.15 9,296.24
06/30/2003 9,268.29 9,418.61
07/31/2003 9,468.68 9,606.25
08/31/2003 9,779.30 9,801.15
09/30/2003 9,588.92 9,700.81
10/31/2003 10,330.38 10,269.95
11/30/2003 10,540.80 10,392.98
12/31/2003 10,630.98 10,890.64
01/31/2004 10,811.33 11,097.66
02/29/2004 10,821.35 11,251.42
03/31/2004 10,971.65 11,097.79
04/30/2004 10,711.13 10,897.40
05/31/2004 11,041.79 11,054.66
06/30/2004 11,242.18 11,253.92
07/31/2004 10,580.88 10,858.76
08/31/2004 10,480.68 10,912.40
09/30/2004 10,791.29 11,050.27
10/31/2004 10,771.25 11,228.51
11/30/2004 11,362.42 11,708.79
12/31/2004 11,693.07 12,132.53
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/AIM SMALL CAP GROWTH FUND
[INSERT LOGO] A I M CAPITAL MANAGEMENT
TEAM MANAGEMENT
OBJECTIVE:
JNL/AIM Small Cap Growth Fund seeks as its investment objective long-term
capital growth by investing in U.S. small-cap companies.
MONEY MANAGER COMMENTARY:
ECONOMIC OVERVIEW & OUTLOOK: In 2004, as the country focused on election year
politics and instability in Iraq, the equity markets posted gains, and the U.S.
economy grew at a healthy pace. Following a swift and decisive conclusion to the
presidential election, the markets surged, after posting only modest gains in
the months prior. For the year, the Dow Jones Industrial Average was up 5.31%,
the NASDAQ was up 8.59%, and the S&P 500 Index was up 10.88%. GDP growth for the
third quarter was revised to 4.0%, which was slightly ahead of expectations.
Estimates for fourth quarter GDP growth have ranged between 3-4%.
Manufacturing activity was robust as the widely recognized Institute for Supply
Management (ISM) Index remained above 60 in the first half of the year, and
after declining slightly, it stayed well above the expansion level of 50 in the
second half. Within these reports, the employment component of the index showed
signs of consistent improvement. In fact, the overall employment picture
improved throughout the year as the unemployment rate fell to 5.4% by the end of
December. Job creation improved in 2004, although the payroll figures were
volatile, ranging dramatically from month to month.
Consumer confidence got a boost from the improving employment situation, hitting
its highest level since 2002. The Conference Board's Index of Consumer
Confidence finished the year at 102.3, off its July peak, but still quite strong
due to a positive consumer outlook.
Consumer spending also remained healthy, despite rising energy costs and
creeping inflation as indicated by higher prices for staples such as milk and
butter. Home sales remained healthy throughout the year even as a series of
interest rate increases began in June.
An economic expansion appears to be underway as corporate profits have
strengthened significantly, and the labor market has solidified. While there is
some concern about the viability of the consumer and another spike in oil
prices, many indicators point to economic health. In response to these factors,
the FOMC raised interest rates by a total 125 basis points in 2004, bringing the
Federal Funds rate to 2.25% by the end of the year. The Committee indicated that
more measured rate increases are expected in 2005, as they see evidence of
continued economic growth.
PERFORMANCE ANALYSIS: For the period ending December 31, 2004, the Fund's Class
A shares posted a return of 6.86%, under performing its benchmark, the Russell
2000 Index, which posted a return of 18.44%. Portfolio managers concentrated the
Fund in the consumer discretionary, health care, and information technology
sectors.
The Fund's underperformance relative to the Russell 2000 Index in 2004 was
largely due to performance issues in the first and third quarters of 2004.
Stronger relative performance in the second quarter did not compensate for the
under performance in the previous time periods.
Stock selection in the health care sector was largely responsible for the
portfolio's relative underperformance. The Fund was hurt by weak performance
from select pharmaceutical and biotechnology holdings. Stock selection in the
financials and industrials sector also detracted from the Fund's relative
performance. Holdings in the consumer discretionary sector positively
contributed to relative performance as leisure stocks and specialty retailers
performed well.
On September 8, 2004, Juliet S. Ellis and Juan R. Hartsfield replaced Ryan
Crane, and assumed the management duties for this Fund. Since taking over the
portfolio, the management team has taken steps to reduce the total number of
holdings within the Fund, and to increase average position weights in individual
holdings. In addition, managers are taking steps to become somewhat more
diversified across sectors in order to mitigate large sector bets. As a result
of these changes, we believe that volatility may be reduced somewhat, and we are
comfortable with the way the Fund is positioned going into 2005.
AVERAGE ANNUAL TOTAL RETURN
1 year 6.86%
Since inception 7.20%
(Inception date October 29, 2001).
date JNL/AIM Small Cap Growth Fund (Class A) Russell 2000 Index
10/29/2001 10,000.00 10,000.00
10/31/2001 10,100.00 9,972.64
11/30/2001 10,810.00 10,745.17
12/31/2001 11,600.00 11,409.17
01/31/2002 11,270.00 11,291.21
02/28/2002 10,490.00 10,982.24
03/31/2002 11,290.00 11,865.66
04/30/2002 11,050.00 11,973.58
05/31/2002 10,530.00 11,442.30
06/30/2002 9,720.00 10,873.60
07/31/2002 8,410.00 9,231.18
08/31/2002 8,420.00 9,207.56
09/30/2002 7,960.00 8,546.15
10/31/2002 8,330.00 8,819.99
11/30/2002 9,010.00 9,606.92
12/31/2002 8,430.78 9,072.90
01/31/2003 8,190.75 8,822.85
02/28/2003 7,970.73 8,556.35
03/31/2003 8,090.74 8,666.48
04/30/2003 8,680.80 9,487.81
05/31/2003 9,510.87 10,505.87
06/30/2003 9,790.90 10,696.86
07/31/2003 10,240.94 11,365.69
08/31/2003 10,871.00 11,887.12
09/30/2003 10,520.97 11,668.04
10/31/2003 11,351.04 12,647.58
11/30/2003 11,671.07 13,096.36
12/31/2003 11,671.07 13,363.65
01/31/2004 12,051.11 13,945.12
02/29/2004 11,991.10 14,070.14
03/31/2004 11,941.10 14,201.25
04/30/2004 11,431.05 13,477.06
05/31/2004 11,711.08 13,694.04
06/30/2004 12,071.11 14,271.79
07/31/2004 10,991.01 13,311.17
08/31/2004 10,620.98 13,242.62
09/30/2004 11,011.01 13,864.20
10/31/2004 11,331.04 14,140.26
11/30/2004 12,101.11 15,370.53
12/31/2004 12,471.15 15,827.38
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/ALGER GROWTH FUND
[INSERT LOGO] FRED ALGER MANAGEMENT, INC.
FRED M. ALGER III AND DAN C. CHUNG
OBJECTIVE:
JNL/Alger Growth Fund seeks as its investment objective long-term capital
appreciation by investing in a diversified, actively managed portfolio of equity
securities, primarily of companies with total market capitalization of $1
billion or greater.
MONEY MANAGER COMMENTARY:
The year ending December 31st, 2004 was a solid period for most equity indices.
While the robust momentum of 2003 seemed to wane a bit during the first three
months of the year, markets still managed to post positive returns in the first
quarter. Notwithstanding continued global tensions, investors were heartened by
rising consumer sentiment and stellar corporate earnings growth. While the
indices inched higher during the second quarter, sentiment began to shift on
concerns over inflation, rising interest rates, and a deteriorating situation in
Iraq. That trend continued during the third quarter, with the added factor of
the presidential campaign. The result: fear and uncertainty seemed to trump
solid fundamentals in the late spring and summer months. The sell-off during the
summer was not extreme by historical standards, but it was unusual given the
continued strength of the economy and of earnings growth. Only after the
presidential election did the markets head decisively upward, and in the closing
weeks of the year, the indices made up considerable ground. Despite rising oil
prices, a ballooning budget deficit and the dollar's continual decline, stocks
moved higher during the fourth quarter because the economy continued to expand,
productivity remained high, earnings for the S&P 500 Index continued to register
growth near 20%, and all of this took place in a climate of very low inflation.
In a year when most indices registered high single-digit to low-double digit
gains, small and mid-cap value stocks led the pack, followed closely by small
and mid-cap growth stocks.
For the year ended December 31, 2004, Fund's Class A shares returned 5.02%,
missing the S&P 500 Index return of 10.88%. Over the same time period, the
Russell 1000 Growth Index and the Lipper Large-Cap Growth Fund Index returned
5.23% and 7.45%, respectively. Throughout the period, the Fund benefited from
solid security selection in the Consumer Discretionary and Industrials sectors,
but was ultimately hurt by an overweighting in the weak Technology sector. At
the stock level, positions in eBay Inc., Yahoo Inc. and Google Inc. contributed
most positively to Fund performance during the twelve-month period. Conversely,
positions in Netflix Inc., Teradyne Inc. and Applied Materials Inc. detracted
most from Fund value. As of December 31, 2004, the Fund remained well
diversified, with Information Technology, Consumer Discretionary and Health Care
representing the top three sectors. The Fund held 77 stocks representing 97.5%
of the $292.6 million in total net assets.
As for 2005, recently, a clear consensus has emerged, at least about the broad
outlines. Most strategists believe that the markets will be up; that the economy
will expand 3% to 4%; and that corporate earnings growth will slow from the
torrid pace of 2004. In other areas, there is less agreement: strategists are
divided about how much more the Fed will raise interest rates; where energy
prices and the dollar will go; and how much consumer spending will increase.
Alger's view on these big-picture themes will come as no surprise. Yes, we too
think the economy will grow 3% to 4%; that the equity markets will end 2005
higher; and that corporate earnings growth will slow. But unlike many, we also
believe that job growth will disappoint those who look to past patterns of job
creation, and that productivity will continue to surprise on the upside. We
think the Fed will stop tightening sooner than most expect and that short-term
rates will be no more than 3% a year from now. Finally, we believe that the
consumer will bend but not break, and increase spending at least 3%. These
year-ahead predictions, however, are often more fun than meaningful. As
bottom-up stock pickers, we know that you can find good companies in mediocre
sectors, and mediocre investments in great sectors, and that factors like
interest rates, the dollar, and rising energy prices don't point in one
direction or another for long-term investment decisions. In 2005, regardless of
the daily whims of the market, we will continue to seek out and invest in
companies that we believe will grow their earnings rapidly and consistently. And
should market conditions remain favorable, we expect that the Fund should
outperform most of its peers.
AVERAGE ANNUAL TOTAL RETURN
1 year 5.02%
5 year -6.26%
Since inception 7.72%
(Inception date October 16,1995).
date JNL/Alger Growth Fund (Class A) S&P 500 Index
10/16/1995 10,000.00 10,000.00
10/31/1995 10,170.00 9,979.00
11/30/1995 10,050.00 10,417.00
12/31/1995 9,840.00 10,617.00
1/31/1996 10,140.00 10,978.00
2/29/1996 10,470.00 11,080.00
3/31/1996 10,380.00 11,187.00
4/30/1996 10,580.00 11,352.00
5/31/1996 10,620.00 11,643.00
6/30/1996 10,430.00 11,687.00
7/31/1996 9,660.00 11,171.00
8/31/1996 10,070.00 11,407.00
9/30/1996 10,760.00 12,048.00
10/31/1996 10,830.00 12,380.00
11/30/1996 11,490.00 13,315.00
12/31/1996 11,160.00 13,051.00
1/31/1997 11,980.00 13,865.38
2/28/1997 11,560.00 13,973.53
3/31/1997 11,140.00 13,400.62
4/30/1997 11,600.00 14,199.29
5/31/1997 12,330.00 15,062.61
6/30/1997 13,030.00 15,737.42
7/31/1997 14,350.00 16,988.54
8/31/1997 13,840.00 16,037.18
9/30/1997 14,560.00 16,916.02
10/31/1997 13,860.00 16,351.03
11/30/1997 14,060.00 17,108.08
12/31/1997 14,083.59 17,401.72
1/31/1998 14,270.54 17,594.17
2/28/1998 15,319.54 18,863.16
3/31/1998 16,160.82 19,902.23
4/30/1998 16,347.77 20,083.34
5/31/1998 16,160.82 19,705.77
6/30/1998 17,625.26 20,482.18
7/31/1998 18,082.25 20,264.64
8/31/1998 15,007.96 17,337.55
9/30/1998 16,327.00 18,448.26
10/31/1998 17,064.41 19,947.54
11/30/1998 18,341.91 21,156.02
12/31/1998 20,514.70 22,374.35
1/31/1999 22,084.43 23,309.98
2/28/1999 21,402.41 22,585.78
3/31/1999 22,853.05 23,489.42
4/30/1999 22,831.40 24,399.07
5/31/1999 21,813.79 23,822.91
6/30/1999 23,870.67 25,145.03
7/31/1999 23,047.92 24,359.88
8/31/1999 22,788.10 24,239.42
9/30/1999 22,636.54 23,574.87
10/31/1999 23,968.10 25,066.74
11/30/1999 25,353.79 25,576.32
12/31/1999 27,447.85 27,082.64
1/31/2000 26,633.16 25,721.95
2/29/2000 27,975.00 25,235.01
3/31/2000 30,431.05 27,703.77
4/30/2000 28,837.62 26,870.31
5/31/2000 27,088.43 26,318.98
6/30/2000 28,693.85 26,967.80
7/31/2000 27,843.22 26,546.15
8/31/2000 30,167.48 28,195.04
9/30/2000 27,663.51 26,706.49
10/31/2000 26,273.74 26,593.60
11/30/2000 23,602.04 24,496.98
12/31/2000 23,758.13 24,616.85
1/31/2001 24,972.89 25,490.23
2/28/2001 22,914.20 23,165.95
3/31/2001 21,008.94 21,698.37
4/30/2001 23,348.95 23,384.55
5/31/2001 23,770.92 23,541.25
6/30/2001 22,607.31 22,968.28
7/31/2001 21,980.75 22,742.13
8/31/2001 20,113.86 21,318.47
9/30/2001 18,413.19 19,596.96
10/31/2001 19,103.69 19,970.64
11/30/2001 20,829.93 21,502.55
12/31/2001 20,915.30 21,691.25
1/31/2002 20,121.21 21,387.58
2/28/2002 19,173.43 20,975.14
3/31/2002 20,172.44 21,763.99
4/30/2002 18,891.65 20,444.48
5/31/2002 18,315.30 20,293.87
6/30/2002 17,021.70 18,848.38
7/31/2002 15,023.67 17,378.98
8/31/2002 14,946.82 17,493.00
9/30/2002 13,601.99 15,591.84
10/31/2002 14,434.50 16,964.22
11/30/2002 15,010.86 17,962.70
12/31/2002 13,973.42 16,897.82
1/31/2003 13,691.65 16,455.15
2/28/2003 13,653.22 16,208.25
3/31/2003 13,922.19 16,365.64
4/30/2003 15,100.51 17,713.74
5/31/2003 16,061.11 18,647.02
6/30/2003 16,342.88 18,884.81
7/31/2003 16,688.69 19,217.83
8/31/2003 17,136.97 19,592.55
9/30/2003 16,868.00 19,384.62
10/31/2003 17,969.48 20,481.03
11/30/2003 18,289.68 20,661.22
12/31/2003 18,904.46 21,744.97
1/31/2004 19,455.20 22,144.07
2/29/2004 19,391.16 22,451.77
3/31/2004 19,275.89 22,113.06
4/30/2004 18,392.14 21,765.86
5/31/2004 19,096.58 22,064.58
6/30/2004 19,468.01 22,493.78
7/31/2004 17,867.02 21,748.20
8/31/2004 17,380.32 21,836.23
9/30/2004 18,007.91 22,072.61
10/31/2004 18,289.68 22,409.88
11/30/2004 19,070.96 23,316.52
12/31/2004 19,854.14 24,110.12
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/ALLIANCE CAPITAL GROWTH FUND
[INSERT LOGO] ALLIANCE CAPITAL MANAGEMENT L.P.
SYED HASNAIN, JIM REILLY
OBJECTIVE:
JNL/Alliance Capital Growth Fund seeks as its investment objective long-term
growth of capital by investing primarily in common stocks or securities with
common stock characteristics which demonstrate the potential for appreciation.
MONEY MANAGER COMMENTARY:
The U.S. equity markets reacted positively to the election results and falling
oil prices to post strong returns in the fourth quarter of 2004. The S&P 500
Index returned 10.88%, the Russell 1000 Growth Index returned 5.23%, 13.70% for
the Russell 1000 Value Index and 18.44% for the Russell 2000 Index.
For the full year, smaller capitalization stocks outperformed larger
capitalization stocks for the fifth consecutive year with the Russell 2000 Index
up 18.44% while the S&P 500 Index posted a return of 10.88%. Over the past five
years the Russell 2000 Index has posted a cumulative return of 37.7% far
outpacing the -11% cumulative return posted by the S&P 500 Index. This is the
largest and longest sustained capitalization bias in the 25-year history of the
Russell Indices. The market continued its value bias with the Russell 1000 Value
Index posting a 13.70% return for the year while the Russell 1000 Growth Index
returned 5.23%. Over the past five years the Russell 1000 Value Index has posted
a cumulative return of 29.3% while the Russell 1000 Growth Index has lost 38.6%.
This is the largest and longest sustained style bias in the 25-year history of
the Russell Indices.
The combination of the unprecedented value bias and smaller capitalization bias
has made the past five years the most difficult period ever for the large
capitalization growth investment style. The premium for growth stocks relative
to the broad market is as low as it has been in the past 25 years. We believe
that large capitalization growth stocks are poised to outperform the overall
market against a backdrop of strong economic growth which we expect to exceed
consensus estimates.
For 2004, the Fund's Class A shares returned 6.31% exceeding the 5.23% return
for the Russell 1000 Growth Index, but lagging the 10.88% return posted by the
S&P 500 Index. The Fund lost the most ground relative to the S&P 500 Index in
the healthcare sector due to both subpar stock selection (-3.2% versus +1.7% for
the Index) and overweighting (about 18% versus about 13% in the Index) this
underperforming sector. A small position in Forest Laboratories (-27.4%)
detracted the most from the Fund's return in the healthcare sector.
The Fund lost some ground relative to the Index in the consumer discretionary
sector due to relatively weak stock selection (+10.5% versus +13.3% for the
Index). A small position in Amazon (-18.2%) most negatively impacted the Fund's
return in the consumer discretionary sector.
The Fund slightly trailed the Index return in the financials sector due to
subpar stock selection (+8.9% versus +10.9% for the Index). A large position in
American International Group (-0.5%) detracted the most from the Fund's return
in the financials sector. The Fund outpaced the Index in the information
technology sector due to strong stock selection (+7.1% versus +2.8% for the
Index). A large position in Yahoo (+67.4%) made a large contribution to the
Fund's overall return.
In our view, investors are underestimating the outlook for the U.S. economy and
corporate profitability, providing us with an unusual opportunity to buy
superior growth companies at little valuation premium. On a macro-economic
level, fears that the recovery has peaked are belied by significant improvements
in most key sentiment indicators-both those that track attitudes among business
leaders, and those that measure confidence at the grass-roots level.
Despite a seemingly brightened outlook, signs of investor pessimism remain
evident in equity valuations. It's no secret that valuations at the broad market
level have compressed markedly over the past several years. Perhaps less
obvious, given an environment that once again seems conducive to further
economic and earnings expansion, the premium for growth stocks relative to the
broad market is as low as it has been in the past 25 years. In our view, this
degree of the wariness for prospects for growth stocks going forward seems
unwarranted.
Even within growth, the fastest growing companies are selling at valuations not
very different from their less enticing counterparts. This becomes evident in
the metrics for our portfolios. A representative account offers consensus growth
expectations more than 50% higher than the Russell 1000 Growth Index for 2004
and 40% higher for 2005. Yet this portfolio sells for only 10% more than the
Index on a price-to-2005 estimated earnings basis-and nearly on a par with the
Index on price-to-book.
For the last several quarters, this anomalous situation has afforded us the
opportunity, at little or no premium, to trade up to companies that our research
indicates are poised to become tomorrow's growth leaders. Technology and related
segments remain a key focus, given pent-up demand on the business side and the
consumer's continuing fascination with the latest technological advances. Some
of the leading-edge tech names we've been buying include trendsetter Apple and
the dominant company in gaming software, Electronic Arts. We also see
opportunities in the ongoing need for energy, but expect less price sensitivity
on the service side than on the supply side. As a result, we've focused
additions to our energy holdings in drillers and oil-field service providers
such as Nabors Industries and Baker Hughes.
The kinds of investments we have been emphasizing of late may seem more "risky"
than those of the past several years, since-to some extent-they're predicated on
market expansion at a time when some investors remain skeptical. And certain
measures bear out this notion of increased risk. For example, our portfolio
predicted beta-a gauge of its volatility relative to that of the market-is the
highest that it has been in recent years. But while our stocks do have
tremendous opportunity to benefit from rapidly growing markets, they also have
fundamental strengths that should enable them to outperform their peers even if
market growth falls short of our expectations. When you put it all together,
given today's attractive combination of growth potential and valuation for
growth stocks, this seems like a risk worth taking.
AVERAGE ANNUAL TOTAL RETURN
1 year 6.31%
5 year -8.48%
Since inception 1.30%
(Inception date March 2, 1998).
date JNL/Alliance Capital Growth Fund (Class A) S&P 500 Index
3/2/1998 10,000.00 10,000.00
3/31/1998 10,410.00 10,550.84
4/30/1998 10,680.00 10,646.86
5/31/1998 10,540.00 10,446.70
6/30/1998 11,280.00 10,858.30
7/31/1998 11,530.00 10,742.97
8/31/1998 9,360.00 9,191.22
9/30/1998 10,060.00 9,780.05
10/31/1998 11,050.00 10,574.83
11/30/1998 11,770.00 11,215.52
12/31/1998 13,280.00 11,861.40
1/31/1999 14,670.00 12,357.41
2/28/1999 13,930.00 11,973.49
3/31/1999 14,650.00 12,452.54
4/30/1999 14,480.00 12,934.77
5/31/1999 14,030.00 12,629.33
6/30/1999 15,280.00 13,330.23
7/31/1999 14,880.00 12,914.00
8/31/1999 14,690.00 12,850.14
9/30/1999 14,470.00 12,497.84
10/31/1999 15,600.00 13,288.73
11/30/1999 15,900.00 13,558.87
12/31/1999 17,029.43 14,357.42
1/31/2000 16,169.77 13,636.08
2/29/2000 16,046.96 13,377.93
3/31/2000 17,919.79 14,686.71
4/30/2000 17,285.28 14,244.86
5/31/2000 16,875.92 13,952.58
6/30/2000 17,387.62 14,296.54
7/31/2000 17,254.57 14,073.02
8/31/2000 18,165.40 14,947.15
9/30/2000 16,353.98 14,158.01
10/31/2000 15,924.15 14,098.17
11/30/2000 14,194.60 12,986.68
12/31/2000 14,033.34 13,050.22
1/31/2001 15,193.29 13,513.23
2/28/2001 12,894.10 12,281.06
3/31/2001 11,889.50 11,503.04
4/30/2001 13,298.02 12,396.94
5/31/2001 13,235.88 12,480.01
6/30/2001 12,583.40 12,176.26
7/31/2001 12,293.41 12,056.37
8/31/2001 11,257.74 11,301.64
9/30/2001 10,325.64 10,389.01
10/31/2001 10,781.34 10,587.11
11/30/2001 11,858.43 11,399.23
12/31/2001 11,988.76 11,499.27
1/31/2002 11,367.05 11,338.28
2/28/2002 10,838.59 11,119.63
3/31/2002 11,304.88 11,537.83
4/30/2002 10,393.03 10,838.31
5/31/2002 10,185.79 10,758.47
6/30/2002 9,460.45 9,992.16
7/31/2002 8,755.84 9,213.18
8/31/2002 8,931.99 9,273.63
9/30/2002 8,061.59 8,265.76
10/31/2002 8,745.48 8,993.31
11/30/2002 8,963.08 9,522.64
12/31/2002 8,268.83 8,958.11
1/31/2003 7,999.42 8,723.43
2/28/2003 7,875.07 8,592.54
3/31/2003 8,144.48 8,675.98
4/30/2003 8,890.54 9,390.65
5/31/2003 9,170.32 9,885.42
6/30/2003 9,139.23 10,011.48
7/31/2003 9,481.18 10,188.02
8/31/2003 9,636.60 10,386.68
9/30/2003 9,450.09 10,276.44
10/31/2003 9,988.91 10,857.69
11/30/2003 9,957.82 10,953.21
12/31/2003 10,279.04 11,527.74
1/31/2004 10,455.20 11,739.32
2/29/2004 10,444.84 11,902.44
3/31/2004 10,465.56 11,722.88
4/30/2004 10,102.89 11,538.82
5/31/2004 10,413.75 11,697.18
6/30/2004 10,610.63 11,924.71
7/31/2004 9,885.29 11,529.46
8/31/2004 9,740.22 11,576.13
9/30/2004 10,030.36 11,701.44
10/31/2004 10,123.62 11,880.24
11/30/2004 10,610.63 12,360.88
12/31/2004 10,927.50 12,781.59
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/EAGLE CORE EQUITY FUND
[INSERT LOGO] EAGLE ASSET MANAGEMENT, INC.
TEAM MANAGEMENT
OBJECTIVE:
The Eagle/JNL Core Equity Fund is invested in a diversified portfolio of common
stocks and its primary objective is long-term capital appreciation with current
income being a secondary objective.
The Fund consists of three separately managed constituent portfolios (all
managed by different investment teams at Eagle Asset Management, Inc.): (i) the
Growth Equity portfolio (40% of Funds' assets); (ii) the Value Equity portfolio
(40% of Funds' assets); and (iii) Equity Income portfolio (20% of Funds'
assets).
The Fund is designed to be a core large cap equity holding around which
investors can build a diversified equity portfolio.
MONEY MANAGER COMMENTARY:
After marking time for about 10 months, stock prices came to life at the end of
October through December. The S&P 500 Index reached a three-year high, closing
out 2004 with gains for the second consecutive year: the first time that has
occurred since 1999.
Finally, during the last week of October, a larger-than-expected petroleum
inventory report sparked a stock rally as crude prices finally reversed course.
Stocks continued to move higher, propelled by election results that were not
only free of terrorist incidents and litigation delays, but also raised hopes
for further tax relief and steps toward privatizing Social Security. In raising
its target federal funds rate (for the fifth time) by a quarter-point to 2.25%
in December, the Federal Reserve said its accommodation can be removed at a
"measured pace," the economy is growing at a "moderate pace" despite high energy
prices and inflation remains "well-contained." Other encouraging news during
December included a 0.2% increase in November leading indicators, the first
increase in six months; an upward revision in third-quarter real GDP growth to
4.0% (compared to 3.3% in the second quarter and 4.5% in the first); the
Conference Board's consumer-confidence index jumped to 102 in December from 92.6
in November, its highest level since July; and four-week average jobless claims
declined by 6,000 to a five-week low.
The Fund's Class A shares was up 6.32% for 2004 while the benchmark S&P 500
Index was up 10.88%. Top contributors for the Fund for the year included
consumer staples and healthcare, while technology, consumer cyclicals and basic
materials hurt performance. Stock selection benefited consumer staples and
healthcare, but hindered consumer cyclicals and technology. The Fund's
underweighting in basic materials negatively impacted performance.
Below is a brief overview of the contributions made by each of the three
constituent portfolios in 2004:
Most of the Fund's overall relative underperformance was attributable to the
Growth Equity portfolio. Underperformance within the Growth Equity portfolio was
attributable primarily to an overweighting in poor performing semiconductor and
media stocks. Fairchild Semiconductor, Lam Research and Intel were particular
poor performing semiconductor holdings, as the semiconductor industry saw strong
year-over-year revenue growth but lagging stock prices. Any evidence of an
inventory reduction or improving demand would likely be a positive catalyst for
the industry. In other areas of technology, Dell and Microsoft were positive
contributors to relative performance. In the consumer discretionary sector,
positive contributions from eBay and Harrah's Entertainment did not overcome
losses in media companies such as Viacom and Clear Channel Communications.
During the year advertising dollars continued to migrate from traditional media
companies (i.e. cable, newspapers, radio and television) to non-traditional
media companies which were better leveraging the Internet, so we strategically
shifted assets out of traditional into non-traditional media names. On the
positive side, strength in Caremark Rx and Genzyme aided the solid performance
of our healthcare holdings as both companies have improved growth prospects due
to a strong base business bolstered by what we view as smart acquisitions.
The Value Equity portfolio's relative outperformance for the year provides
tangible evidence of the benefits of a process that combines in-depth,
fundamental research with a relative-valuation discipline that provides a
working framework for identifying value disparities. For example, although
Veritas Software was down 22.9% for the full year, it was the best Value Equity
portfolio performer in the fourth quarter (up 60%) and for the period we owned
it (up 68%) through December. Dell also contributed to the technology sector's
outperformance. Other sector outperformers included industrials (Tyco and
Emerson Electric), consumer discretionary (McDonalds and Newell Rubbermaid),
healthcare (Wyeth and HCA) and consumer staples (Altria Group and CVS). On the
other hand, our normal underweighting in utilities slightly penalized
performance while underweight holdings in finance, energy and materials didn't
hurt performance. We will reduce a somewhat-above-normal cash position as
investment opportunities arise.
Top-performing sectors in the Equity Income portfolio included energy and
financials. The strengthening global economy has increased demand for oil and
natural gas, inflating prices for commodities. Exxon, BP and Halliburton
benefited from these higher prices. Although energy commodity prices have
moderated somewhat, we believe we are witnessing a new paradigm in energy
demand, and prices will likely remain at higher levels. REITs had a particularly
strong year, rebounding from their brief but violent second-quarter swoon. Our
top performers in the group were Boston Properties, Health Care Property
Investors and Vornado. In mid-September we trimmed our REIT exposure based on
the concern that some of the stocks had moved a bit ahead of the companies'
near-term earnings prospects.
Our most significant laggards were Pfizer and Marsh & McLennan. Pfizer shares
traded down due to fears that the company's arthritis drugs, Celebrex, and its
next generation formulation, Bextra, might face similar fates to that of Merck's
Vioxx. We continue to hold Pfizer because of its strong pipeline of new products
and its 3% dividend yield, but sold Marsh & McLennan after Eliot Spitzer, New
York's attorney general, alleged fraud at the company.
At the start of 2005, the road ahead looks quite similar to where we were a year
ago. We expect corporate profits to expand again this year, though at a slower
pace than they did in 2004. Once again, year-to-year comparisons get tougher as
time goes by. Interest rates are likely to trend higher in 2005; we said that
last year, and we (along with most observers) were pleasantly surprised that
long-term interest rates barely moved even though short-term rates almost
doubled. On the political front, the election campaign was last year's business;
this year's focus will be on the Bush administration's second-term policy
initiatives. Rock-throwing over Social Security reform is already in progress.
Rancorous debates over tax policy and other issues will follow.
There is a heightened sense of caution in corporate America, which we find
encouraging. In the short term, restraint with regard to capital investment and
staffing acts as a brake on economic growth. The positive side of this
phenomenon, though, ought to be a prolonged expansion phase, perhaps with fewer
recessionary bumps along the way. There are indications that managements in some
sectors are shedding their defensive armor; we think this is responsible in part
for the recent pickup in merger-and-acquisition activity, for example. As
confidence spreads, we believe the pace of economic activity ought to pick up.
And, in the meantime, companies in many sectors are accumulating surplus cash
and/or paying off debt. That's a plus for the system as a whole; it also is
providing the wherewithal for many companies to materially increase their
dividend payouts.
AVERAGE ANNUAL TOTAL RETURN
1 year 6.32%
5 year -0.99%
Since inception 8.25%
(Inception date September 16, 1996).
date JNL/Eagle Core Equity Fund (Class A) S&P 500 Index
9/16/1996 10,000.00 10,000.00
9/30/1996 10,060.00 10,054.00
10/31/1996 10,250.00 10,332.00
11/30/1996 10,810.00 11,112.00
12/31/1996 10,647.07 10,892.00
1/31/1997 11,158.37 11,571.66
2/28/1997 11,288.70 11,661.92
3/31/1997 10,807.48 11,183.78
4/30/1997 11,328.80 11,850.33
5/31/1997 12,040.61 12,570.83
6/30/1997 12,642.14 13,134.01
7/31/1997 13,634.67 14,178.16
8/31/1997 13,083.26 13,384.18
9/30/1997 13,694.82 14,117.64
10/31/1997 13,424.13 13,646.11
11/30/1997 13,795.07 14,277.92
12/31/1997 14,091.34 14,522.99
1/31/1998 14,122.09 14,683.47
2/28/1998 15,064.93 15,741.94
3/31/1998 15,628.58 16,609.84
4/30/1998 15,536.35 16,760.99
5/31/1998 15,259.64 16,445.88
6/30/1998 15,577.34 17,093.85
7/31/1998 15,290.39 16,912.30
8/31/1998 13,158.75 14,469.43
9/30/1998 13,865.88 15,396.40
10/31/1998 14,839.47 16,647.65
11/30/1998 15,495.35 17,656.21
12/31/1998 16,421.70 18,673.00
1/31/1999 16,659.09 19,453.85
2/28/1999 16,246.23 18,849.46
3/31/1999 17,020.35 19,603.61
4/30/1999 17,773.83 20,362.77
5/31/1999 17,402.25 19,881.93
6/30/1999 18,393.13 20,985.34
7/31/1999 17,949.30 20,330.07
8/31/1999 17,908.01 20,229.54
9/30/1999 17,226.78 19,674.92
10/31/1999 18,331.20 20,919.99
11/30/1999 19,187.89 21,345.27
12/31/1999 20,288.39 22,602.40
1/31/2000 19,673.26 21,466.81
2/29/2000 19,695.23 21,060.43
3/31/2000 21,518.66 23,120.79
4/30/2000 20,804.66 22,425.20
5/31/2000 20,354.30 21,965.08
6/30/2000 21,024.35 22,506.56
7/31/2000 21,035.34 22,154.67
8/31/2000 22,683.01 23,530.79
9/30/2000 21,738.35 22,288.48
10/31/2000 21,364.87 22,194.27
11/30/2000 19,596.37 20,444.49
12/31/2000 20,344.67 20,544.53
1/31/2001 21,085.16 21,273.43
2/28/2001 19,453.57 19,333.65
3/31/2001 18,211.05 18,108.85
4/30/2001 19,754.79 19,516.08
5/31/2001 19,880.29 19,646.86
6/30/2001 19,403.37 19,168.68
7/31/2001 19,240.21 18,979.94
8/31/2001 18,035.34 17,791.80
9/30/2001 16,290.80 16,355.07
10/31/2001 16,893.23 16,666.93
11/30/2001 18,098.09 17,945.42
12/31/2001 18,345.35 18,102.91
1/31/2002 18,130.71 17,849.47
2/28/2002 18,004.45 17,505.26
3/31/2002 18,787.25 18,163.61
4/30/2002 17,764.56 17,062.39
5/31/2002 17,562.54 16,936.69
6/30/2002 16,451.47 15,730.33
7/31/2002 15,113.13 14,504.00
8/31/2002 15,340.40 14,599.17
9/30/2002 13,711.66 13,012.51
10/31/2002 14,620.72 14,157.86
11/30/2002 15,491.91 14,991.17
12/31/2002 14,578.72 14,102.44
1/31/2003 14,260.41 13,733.00
2/28/2003 14,018.49 13,526.95
3/31/2003 14,094.89 13,658.30
4/30/2003 15,202.62 14,783.39
5/31/2003 15,890.17 15,562.28
6/30/2003 16,081.16 15,760.73
7/31/2003 16,323.08 16,038.66
8/31/2003 16,577.73 16,351.39
9/30/2003 16,323.08 16,177.86
10/31/2003 17,099.76 17,092.89
11/30/2003 17,328.95 17,243.27
12/31/2003 18,156.21 18,147.74
1/31/2004 18,399.65 18,480.82
2/29/2004 18,553.41 18,737.61
3/31/2004 18,361.22 18,454.94
4/30/2004 17,784.62 18,165.17
5/31/2004 17,938.38 18,414.47
6/30/2004 18,156.21 18,772.67
7/31/2004 17,259.29 18,150.43
8/31/2004 17,182.41 18,223.91
9/30/2004 17,323.35 18,421.18
10/31/2004 17,823.06 18,702.65
11/30/2004 18,553.41 19,459.31
12/31/2004 19,304.47 20,121.63
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/EAGLE SMALLCAP EQUITY FUND
[INSERT LOGO] EAGLE ASSET MANAGEMENT, INC.
BERT L. BOKSEN
OBJECTIVE:
The JNL/Eagle SmallCap Equity Fund is designed to capture the significant
long-term capital appreciation potential of dynamic small companies whose market
capitalization at time of purchase is generally between $100 million and $1.25
billion. Using extensive fundamental research, Eagle attempts to locate those
small, rapidly growing, under-researched growth companies that it believes will
enable the Fund to outperform the Russell 2000 Index.
MONEY MANAGER COMMENTARY:
The Russell 2000 Growth Index finished 2004 up 13.82%, outperforming the S&P 500
Index which was up 10.88%, but trailing the Russell 2000 Value Index which was
up 22.3%. 2004 marked the sixth straight year that small-cap stocks outperformed
large caps. We believe valuations are now in-line between small cap and large
cap stocks. Many experts are predicting that the small cap run is over and large
caps will begin to outperform. However, we still think small caps have room to
grow because they can demand premium multiples due to higher growth rates.
Small-cap value stocks have outperformed small-cap growth stocks four out of the
last five years. Growth stocks appear cheap relative to value when you compare
their historical price-to-earnings, price-to-book, price-to-sales and
PE-to-growth metrics. Value stocks historically have been susceptible as
interest rates increase because they are typically more interest-rate sensitive.
The Fund's Class A shares returned 18.80%, outperforming both the Russell 2000
Index which was up 18.44% and the Russell 2000 Growth Index which was up 13.82%.
Top-contributing Fund sectors for the year included consumer discretionary and
healthcare. Top-performing stocks in the consumer sector were Genesco and Lions
Gate Entertainment. Lions Gate maintains a unique position as the only truly
independent content player within the entertainment space, and is strategically
well positioned, especially given a widening array of video distribution
outlets. We believe Genesco has achieved better results due to its focus on
higher-growth segments. The top-performing healthcare stock was American Medical
Systems, which maintains high gross profit margins and a strong balance sheet.
The technology sector was the Fund's biggest laggard for the year. Semiconductor
stocks ASE Test and Integrated Silicon Solutions in particular suffered from
fears of capacity constraints, and that the typical summer slowdown would have a
negative effect on revenues.
We are overweight in the healthcare sector as attractive valuations and
improving fundamentals are evident in many smaller healthcare companies. We are
also overweight in the consumer discretionary area with a particular emphasis on
gaming stocks, which we believe will continue to play well in an environment
where states across the country continue to resort to gambling as a way to
generate revenue and close budget gaps. We also continue to overweight the
energy sector as we believe continued strength in the global economy, and China
and India in particular, will keep a relatively high floor on the price of oil
and gas. Conversely, we continue to underweight financial services which we
believe is prudent in a rising interest rate environment.
We continue to anticipate a positive, but choppy, market environment for the
next six to 12 months. We remain optimistic but recognize geopolitical changes,
terrorism or a more-rapid-than-anticipated rise in interest rates could cause
the market to perform below our expectations.
Small-cap cycles usually end with growth topping value, further suggesting that
small-cap growth stocks may have some premium performance left in them. We
believe small caps should perform in-line with large caps for 2005.
AVERAGE ANNUAL TOTAL RETURN
1 year 18.80%
5 year 4.33%
Since inception 9.96%
(Inception date September 16, 1996).
date JNL/Eagle SmallCap Equity Fund (Class A) Russell 2000 Index Russell 2000 Growth Index
09/16/1996 10,000.00 10,000 10,000.00
09/30/1996 10,360.00 10,120 10,271.00
10/31/1996 10,420.00 9,964 9,828.32
11/30/1996 11,110.00 10,372 10,101.55
12/31/1996 11,540.00 10,639 10,298.53
01/31/1997 11,810.00 10,850 10,555.99
02/28/1997 11,550.00 10,587 9,918.41
03/31/1997 11,340.00 10,091 9,218.17
04/30/1997 11,460.00 10,116 9,111.24
05/31/1997 12,740.00 11,244 10,480.66
06/30/1997 13,490.00 11,722 10,835.95
07/31/1997 14,410.00 12,269 11,390.75
08/31/1997 14,720.00 12,546 11,732.48
09/30/1997 16,120.00 13,462 12,668.73
10/31/1997 14,980.00 12,864 11,907.34
11/30/1997 14,590.00 12,781 11,623.94
12/31/1997 14,730.00 13,004 11,630.92
01/31/1998 14,860.00 12,806 11,476.22
02/28/1998 15,830.00 13,767 12,489.58
03/31/1998 17,140.00 14,346 13,012.89
04/30/1998 17,480.00 14,274 13,092.27
05/31/1998 16,450.00 13,498 12,140.46
06/30/1998 15,970.00 13,520 12,264.29
07/31/1998 14,350.00 12,416 11,240.22
08/31/1998 11,300.00 10,009 8,645.98
09/30/1998 12,150.00 10,784 9,522.68
10/31/1998 12,930.00 11,226 10,019.77
11/30/1998 14,330.00 11,819 10,797.30
12/31/1998 14,904.22 12,557 11,774.46
01/31/1999 15,879.73 12,720 12,304.31
02/28/1999 13,717.52 11,694 11,178.46
03/31/1999 13,134.22 11,874 11,576.42
04/30/1999 14,260.58 12,937 12,598.61
05/31/1999 16,161.33 13,128 12,618.77
06/30/1999 16,996.04 13,717 13,283.78
07/31/1999 16,553.54 13,339 12,873.31
08/31/1999 15,316.55 12,848 12,391.85
09/30/1999 14,984.68 12,848 12,631.01
10/31/1999 14,753.37 12,903 12,954.37
11/30/1999 15,930.02 13,688 14,323.64
12/31/1999 17,775.67 15,238 16,848.90
01/31/2000 16,581.55 14,990 16,692.21
02/29/2000 20,352.46 17,468 20,576.48
03/31/2000 18,875.52 16,319 18,413.89
04/30/2000 17,031.96 15,336 16,553.19
05/31/2000 16,277.78 14,441 15,099.21
06/30/2000 18,299.41 15,703 17,045.57
07/31/2000 17,545.22 15,212 15,587.93
08/31/2000 19,210.71 16,366 17,220.93
09/30/2000 17,765.19 15,882 16,360.79
10/31/2000 16,696.77 15,174 15,031.43
11/30/2000 14,842.73 13,616 12,298.81
12/31/2000 15,421.29 14,793 13,047.31
01/31/2001 17,332.66 15,563 14,101.47
02/28/2001 15,899.13 14,542 12,164.45
03/31/2001 15,214.94 13,831 11,056.71
04/30/2001 16,322.67 14,913 12,407.99
05/31/2001 16,865.67 15,279 12,689.69
06/30/2001 17,006.85 15,800 13,027.41
07/31/2001 16,561.59 14,966 11,919.26
08/31/2001 16,040.31 14,483 11,169.94
09/30/2001 13,727.12 12,532 12,242.05
10/31/2001 14,585.06 13,266 13,417.05
11/30/2001 15,844.83 14,294 14,533.68
12/31/2001 17,116.94 15,177 15,431.13
01/31/2002 17,612.29 15,020 14,879.18
02/28/2002 16,896.79 14,609 13,910.62
03/31/2002 18,514.92 15,784 15,114.83
04/30/2002 18,217.71 15,928 14,784.19
05/31/2002 16,984.85 15,221 13,914.88
06/30/2002 15,586.87 14,465 12,729.79
07/31/2002 13,231.23 12,280 10,763.48
08/31/2002 12,967.05 12,248 10,751.28
09/30/2002 11,833.26 11,368 9,965.28
10/31/2002 12,471.70 11,733 10,463.10
11/30/2002 13,484.41 12,780 11,493.76
12/31/2002 13,220.22 12,069 10,693.96
1/31/2003 12,460.69 11,737 10,397.29
2/28/2003 11,954.34 11,382 10,113.36
3/31/2003 12,493.72 11,529 10,255.60
4/30/2003 13,825.65 12,621 11,220.44
5/31/2003 14,761.30 13,975 12,477.19
6/30/2003 15,157.58 14,229 12,706.99
7/31/2003 16,324.39 15,119 13,663.88
8/31/2003 17,458.18 15,813 14,392.03
9/30/2003 16,830.74 15,521 14,021.06
10/31/2003 17,854.46 16,824 15,227.91
11/30/2003 18,580.96 17,421 15,718.83
12/31/2003 18,503.91 17,777 15,779.86
1/31/2004 19,692.74 18,550 16,605.13
2/29/2004 19,736.77 18,717 16,573.82
3/31/2004 19,802.82 18,891 16,642.81
4/30/2004 19,120.34 17,928 15,803.22
5/31/2004 19,395.53 18,216 16,111.03
6/30/2004 19,934.91 18,985 16,639.63
7/31/2004 18,713.06 17,707 15,142.48
8/31/2004 18,195.70 17,616 14,810.79
9/30/2004 19,197.39 18,443 15,622.79
10/31/2004 19,758.79 18,810 15,998.53
11/30/2004 20,892.58 20,447 17,346.02
12/31/2004 21,982.34 21,054 17,960.59
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/FMR BALANCED FUND
(FORMERLY JNL/JANUS BALANCED FUND)*
[INSERT LOGO] FIDELITY MANAGEMENT & RESEARCH COMPANY
LAWRENCE RAKERS
OBJECTIVE:
JNL/FMR Balanced Fund seeks as its investment objective income and capital
growth consistent with reasonable risk.
MONEY MANAGER COMMENTARY:
MARKET REVIEW
In the fourth quarter of 2004, signs of a continued favorable underlying
operating environment for most companies helped to dispel investor concerns
about the sustainability of economic and corporate earnings improvements as well
as a host of other factors that had hampered stocks earlier in the year.
Moreover, a pullback in energy prices contributed to a broad equity market rally
during the last three months of the year, led by companies in the
technology-heavy Nasdaq Composite Index, which rebounded from negative
territory. Small- and mid-cap growth stocks outpaced their value counterparts
during this time. In the large-cap tier, however, value stocks modestly bested
growth. Meanwhile, fixed-income securities posted modest gains.
FUND PERFORMANCE DISCUSSION
Effective May 1, 2004, the Fund changed its benchmark from the S&P 500 Index and
the Lehman Brothers Government/Corporate Index to the Fidelity Balanced Hybrid
Composite Index to better measure the performance of the Fund with its stated
investment objective. From May 6, 2004, to December 31, 2004, the Fund returned
10.65%, outperforming it's benchmark the Fidelity Balanced Hybrid Composite
Index which returned 9.98%. For the full year, the Fund returned 9.42% vs.
10.88% for the S&P 500 Index and 7.56% for the Lehman Brothers
Government/Corporate Index.
Good stock selection was the primary driver of relative performance, while
sector selection hurt. Astute stock selection within the materials and health
care sectors added the most to the Fund's return versus the Index. Additionally,
good stock selection within the energy and more defensive utilities sector
contributed to overall Fund outperformance.
On the downside, security selection and market selection in the information
technology and financials sectors detracted from relative performance. Poor
stock selection within the consumer discretionary sector also hurt relative
performance.
During the fourth quarter of 2004, the Fund outperformed the Fidelity Balanced
Hybrid Composite Index. Compared with the composite index, good stock selection
in nearly all sectors was the primary driver of performance, and asset
allocation was a plus. Within the equity sub-portfolio, stock selection in the
information technology and industrials sectors added the most to the fund's
relative return. Outperformance within the information technology sector was
mainly due to an overweighting and above-average gains in some outperforming
semiconductor companies. Within the industrials sector, certain smaller-cap
airline stocks were lifted, in part, by easing crude oil prices. Performance
also was helped by late-cycle engineering and construction companies, which were
expected to see growth in the next few years from capacity building projects in
such key end markets as metals, mining and chemicals. Additionally, astute stock
selection within the more defensive utilities sector and an overweighed position
in the health care sector contributed to overall Fund outperformance, as key
health care equipment and services-related holdings were positive performers.
Conversely, the Fund's holdings in the energy sector detracted marginally from
relative performance.
OUTLOOK
The Fund will continue to invest in accordance with the investment guidelines
described in the prospectus.
AVERAGE ANNUAL TOTAL RETURN
1 year 9.42%
Since inception 1.83%
(Inception date May 1, 2000).
*Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC
Fidelity Bond Lehman Brothers
date JNL/FMR Balanced Fund (Class A) Hybrid Composite Index S&P 500 Index Government/Corporate Index
05/01/2000 10,000.00 10,000.00 10,000.00 10,000.00
05/31/2000 9,640.00 9,948.00 9,689.28 10,016.00
06/30/2000 9,980.00 9,981.82 9,928.14 10,220.33
07/31/2000 9,900.00 10,011.77 9,772.91 10,328.66
08/31/2000 10,250.00 10,458.29 10,379.95 10,474.30
09/30/2000 9,980.00 10,345.34 9,831.94 10,514.10
10/31/2000 9,890.00 10,412.59 9,790.38 10,580.34
11/30/2000 9,580.00 10,097.09 9,018.52 10,761.26
12/31/2000 9,800.06 10,387.88 9,062.64 10,973.26
01/31/2001 9,891.08 10,544.74 9,384.18 10,973.26
02/28/2001 9,557.33 10,224.18 8,528.50 10,973.26
03/31/2001 9,264.04 9,932.79 7,988.21 11,324.40
04/30/2001 9,567.45 10,267.53 8,608.97 11,324.40
05/31/2001 9,557.33 10,375.34 8,666.66 11,324.40
06/30/2001 9,435.97 10,285.07 8,455.73 11,358.38
07/31/2001 9,425.86 10,326.21 8,372.47 11,358.38
08/31/2001 9,253.93 10,081.48 7,848.35 11,358.38
09/30/2001 8,920.18 9,657.05 7,214.58 11,899.03
10/31/2001 9,112.34 9,813.49 7,352.15 11,899.03
11/30/2001 9,314.61 10,116.73 7,916.12 11,899.03
12/31/2001 9,360.14 10,199.69 7,985.59 11,906.17
01/31/2002 9,287.74 10,170.11 7,873.79 11,993.09
02/28/2002 9,360.14 10,150.78 7,721.96 12,095.03
03/31/2002 9,473.91 10,336.54 8,012.37 11,849.50
04/30/2002 9,349.80 10,186.66 7,526.60 12,079.38
05/31/2002 9,360.14 10,179.53 7,471.15 12,190.51
06/30/2002 9,070.55 9,850.73 6,938.99 12,294.13
07/31/2002 8,801.64 9,422.23 6,398.04 12,441.66
08/31/2002 8,874.04 9,536.24 6,440.01 12,720.35
09/30/2002 8,563.76 9,027.96 5,740.11 12,993.84
10/31/2002 8,780.95 9,392.68 6,245.34 12,869.10
11/30/2002 8,894.72 9,706.40 6,612.93 12,876.82
12/31/2002 8,744.90 9,516.15 6,220.90 13,218.06
1/31/2003 8,628.44 9,364.85 6,057.93 13,218.06
2/28/2003 8,596.68 9,306.79 5,967.04 13,453.34
3/31/2003 8,670.79 9,327.26 6,024.98 13,435.85
4/30/2003 9,009.57 9,820.67 6,521.28 13,579.61
5/31/2003 9,274.25 10,309.74 6,864.86 13,965.27
6/30/2003 9,274.25 10,365.41 6,952.41 13,909.41
7/31/2003 9,168.38 10,308.41 7,075.00 13,326.61
8/31/2003 9,316.60 10,454.78 7,212.96 13,414.56
9/30/2003 9,316.60 10,515.42 7,136.41 13,839.81
10/31/2003 9,570.68 10,840.35 7,540.05 13,664.04
11/30/2003 9,697.73 10,941.16 7,606.39 13,700.93
12/31/2003 9,945.96 11,326.29 8,005.37 13,836.57
1/31/2004 10,010.33 11,499.59 8,152.30 13,962.49
2/29/2004 10,117.63 11,676.68 8,265.57 14,132.83
3/31/2004 10,117.63 11,654.49 8,140.88 14,262.85
4/30/2004 9,903.04 11,338.66 8,013.06 13,824.98
5/31/2004 9,978.15 11,407.82 8,123.03 13,754.47
6/30/2004 10,192.73 11,582.36 8,281.04 13,811.10
7/31/2004 9,860.13 11,436.42 8,006.56 13,957.00
8/31/2004 9,892.31 11,593.10 8,038.97 14,252.34
9/30/2004 10,096.17 11,719.47 8,125.99 14,302.20
10/31/2004 10,224.92 11,872.99 8,250.15 14,426.63
11/30/2004 10,578.98 12,166.26 8,583.93 14,266.49
12/31/2004 10,882.98 12,463.11 8,876.09 14,417.72
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/FMR CAPITAL GROWTH FUND
(FORMERLY JNL/JANUS CAPITAL GROWTH FUND)*
[INSERT LOGO] FIDELITY MANAGMENT & RESEARCH COMPANY
FMR CO. INC.
OBJECTIVE:
JNL/FMR Capital Growth Fund is a non-diversified Fund that seeks as its
investment objective long-term growth of capital by emphasizing investments in
common stocks of medium-sized companies. Although the Fund expects to emphasize
such securities, it may also invest in smaller or larger companies.
MONEY MANAGER COMMENTARY:
MARKET REVIEW
In the fourth quarter of 2004, signs of a continued favorable underlying
operating environment for most companies helped to dispel investor concerns
about the sustainability of economic and corporate earnings improvements as well
as a host of other factors that had hampered stocks earlier in the year.
Moreover, a pullback in energy prices contributed to a broad equity market rally
during the last three months of the year, led by companies in the
technology-heavy Nasdaq Composite Index, which rebounded from negative
territory. Small- and mid-cap growth stocks outpaced their value counterparts
during this time. In the large-cap tier, however, value stocks modestly bested
growth. Meanwhile, fixed-income securities posted modest gains.
PERFORMANCE DISCUSSION
From May 6, 2004 to December 31, 2004, the Fund returned 14.65%, outperforming
the S&P(R) MidCap 400 Index by 190 basis points (bps). For the full year the
Fund returned 18.00% vs. 19.01% for the S&P MidCap 400 Index.
Compared to its benchmark, good stock selection was the primary driver of
relative performance, while sector selection hurt. Stock selection added more
than 400 bps to relative performance, and sector selection detracted 225 bps.
Astute stock selection within the telecommunication services sector added to the
Fund's return versus the Index, driven in part by top-10 holdings Citizens
Communications and Nextel Communications.
The consumer discretionary sector also contributed to the fund's relative
performance. Top-10 holding Harman International added the most value during the
period. Royal Caribbean and NTL also contributed to the Fund's relative
performance.
In addition, the fund's return relative to its index was helped by good stock
and industry weightings within the materials and information technology sectors.
On the downside, security selection in the industrials sector detracted from
performance, as top-10 holding Career Education declined early in the third
quarter due to litigation-related issues.
For the fourth quarter of 2004, the Fund outperformed the S&P(R) MidCap 400
Index. Outperformance relative to the Index was due largely to security
selection, particularly in telecommunication services and industrial stocks.
Notable contributors at a security level included Top-10 holdings Career
Education Corporation and Nextel Communications. Career Education appreciated
after exceeding quarterly earnings expectations. Nextel Communications rose due
to strong third quarter results. On the down side, security selection within the
health care sector detracted slightly from relative performance.
OUTLOOK
The Fund will continue to invest in accordance with the investment guidelines
described in the prospectus.
AVERAGE ANNUAL TOTAL RETURN
1 year 18.00%
5 year -15.03%
Since inception 9.53%
(Inception date May 15, 1995).
*Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC
date JNL/FMR Capital Growth Fund (Class A) S&P MidCap 400 Index
05/15/1995 10,000.00 10,000.00
05/31/1995 10,020.00 10,009.00
06/30/1995 10,910.00 10,417.00
07/31/1995 11,560.00 10,959.00
08/31/1995 11,930.00 11,161.00
09/30/1995 12,480.00 11,432.00
10/31/1995 12,090.00 11,138.00
11/30/1995 12,580.00 11,622.00
12/31/1995 13,352.64 11,593.00
01/31/1996 13,160.51 11,761.00
02/29/1996 13,768.91 12,160.00
03/31/1996 14,793.57 12,306.00
04/30/1996 15,284.55 12,683.00
05/31/1996 15,892.95 12,854.00
06/30/1996 15,626.11 12,661.00
07/31/1996 14,110.46 11,807.00
08/31/1996 15,273.88 12,489.00
09/30/1996 16,330.56 13,034.00
10/31/1996 15,924.97 13,072.00
11/30/1996 16,074.40 13,807.00
12/31/1996 15,600.01 12,823.00
01/31/1997 15,254.78 13,303.86
02/28/1997 14,952.71 13,194.77
03/31/1997 13,819.93 12,632.67
04/30/1997 13,992.54 12,959.86
05/31/1997 15,567.65 14,092.55
06/30/1997 16,344.41 14,488.55
07/31/1997 16,441.51 15,921.47
08/31/1997 16,463.08 15,902.36
09/30/1997 17,595.86 16,816.75
10/31/1997 17,045.66 16,085.22
11/30/1997 17,326.15 16,323.28
12/31/1997 17,941.01 17,994.00
01/31/1998 17,582.19 17,651.52
02/28/1998 19,039.22 19,113.60
03/31/1998 20,039.57 20,011.93
04/30/1998 20,224.41 20,376.61
05/31/1998 19,376.29 19,440.60
06/30/1998 21,029.04 19,545.58
07/31/1998 20,496.25 18,787.52
08/31/1998 16,299.14 15,293.12
09/30/1998 17,864.90 16,720.17
10/31/1998 19,289.31 18,211.69
11/30/1998 20,768.08 19,120.52
12/31/1998 24,249.15 21,428.83
01/31/1999 26,155.86 20,592.31
02/28/1999 25,126.47 19,514.00
03/31/1999 28,495.38 20,059.26
04/30/1999 30,460.58 21,641.48
05/31/1999 30,051.16 21,735.31
06/30/1999 31,712.22 22,899.17
07/31/1999 31,267.71 22,408.51
08/31/1999 32,893.68 21,640.24
09/30/1999 34,180.42 20,972.12
10/31/1999 39,409.25 22,040.81
11/30/1999 43,702.27 23,197.56
12/31/1999 54,365.09 24,576.05
01/31/2000 55,785.91 23,883.77
02/29/2000 67,950.13 25,555.51
03/31/2000 58,041.77 27,694.33
04/30/2000 50,339.43 26,726.25
05/31/2000 46,189.14 26,394.71
06/30/2000 53,542.51 26,782.32
07/31/2000 51,199.40 27,205.48
08/31/2000 57,817.43 30,243.02
09/30/2000 52,059.37 30,035.95
10/31/2000 45,628.29 29,017.49
11/30/2000 34,386.36 26,827.13
12/31/2000 35,477.63 28,879.54
01/31/2001 37,375.79 29,523.93
02/28/2001 29,150.41 27,839.03
03/31/2001 23,862.66 25,769.37
04/30/2001 27,327.57 28,612.09
05/31/2001 27,011.20 29,278.43
06/30/2001 25,821.08 29,160.15
07/31/2001 24,389.93 28,725.75
08/31/2001 22,220.59 27,786.19
09/30/2001 18,620.11 24,329.92
10/31/2001 19,704.77 25,406.91
11/30/2001 21,000.35 27,297.36
12/31/2001 21,219.78 28,705.85
01/31/2002 19,363.24 28,547.97
02/28/2002 18,396.62 28,583.02
03/31/2002 19,393.93 30,626.34
04/30/2002 18,872.26 30,483.13
05/31/2002 18,350.59 29,969.03
06/30/2002 16,985.03 27,775.45
07/31/2002 15,343.30 25,084.45
08/31/2002 15,343.30 25,210.95
09/30/2002 14,591.48 23,179.96
10/31/2002 15,021.09 24,184.16
11/30/2002 15,742.23 25,582.97
12/31/2002 15,021.09 24,544.41
1/31/2003 14,852.31 23,827.22
2/28/2003 14,744.91 23,259.70
3/31/2003 15,021.09 23,455.87
4/30/2003 16,049.09 25,158.37
5/31/2003 17,291.90 27,243.72
6/30/2003 17,537.39 27,590.54
7/31/2003 17,997.69 28,570.00
8/31/2003 18,856.92 29,865.45
9/30/2003 18,335.24 29,408.27
10/31/2003 19,654.77 31,632.18
11/30/2003 20,007.66 32,734.41
12/31/2003 20,375.90 33,286.73
1/31/2004 20,713.46 34,007.79
2/29/2004 21,081.69 34,824.83
3/31/2004 21,250.47 34,972.35
4/30/2004 20,544.68 33,824.48
5/31/2004 20,882.23 34,526.24
6/30/2004 21,649.40 35,311.92
7/31/2004 19,930.95 33,664.58
8/31/2004 19,915.60 33,576.62
9/30/2004 20,820.86 34,571.19
10/31/2004 21,495.96 35,123.88
11/30/2004 23,091.67 37,215.61
12/31/2004 24,042.95 38,774.39
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/JPMORGAN INTERNATIONAL VALUE FUND
[INSERT LOGO] JPMORGAN INVESTMENT MANAGEMENT INC.
TEAM MANAGEMENT
OBJECTIVE:
JNL/JPMorgan International Value Fund seeks as its investment objective to
provide high total return by investing in equity securities of foreign companies
in developed and, to a lesser extent, developing markets.
MONEY MANAGER COMMENTARY:
After a dull first nine months of the year, international stocks ended 2004 on a
positive note, in a quarter dominated by the weakness of the U.S. dollar. With
oil drifting back from its highs, and a clear victor in the U.S. general
election campaign, markets rallied into the year end. Continental Europe and
Asia ex Japan were the strongest-performing markets. The dollar moderated its
precipitous slide toward the end of the term, but still posted significant falls
against major currencies, as investors focused on the U.S. twin deficits -
budget and current account.
PORTFOLIO REVIEW
During the 12 months leading to December 31, 2004, the Fund's Class A shares
outperformed its benchmark, returning 22.54% compared with the Index's 20.25%
rise. Strong stock picking drove performance. Stock picking was particularly
positive in the telecommunications, industrial cyclical and bank sectors. One
area of strength was holding Japanese banks, such as Mizuho Financial, which
rallied as positive results persuaded investors that bad debt problems were
subsiding.
From a negative perspective, stock picking detracted from performance in the
basic industries, utilities, and transport and consumer cyclical sectors. Among
the leading detractors was Reliance Industries, the Indian industrial group,
which had contributed substantially to returns in 2003, but fell back following
the country's elections and rumored disagreements among the company's
management.
MARKET OUTLOOK
While the outlook for global growth in 2005 is not as positive as in 2004, we
believe that corporate profits are likely to grow and that one can still find
stocks that offer attractive valuations. Given the uncertainties surrounding the
global economic outlook, however, we believe it becomes even more critical not
to overpay for assets and to focus on companies that trade at reasonable
valuations.
AVERAGE ANNUAL TOTAL RETURN
1 year 22.54%
5 year -3.31%
Since inception 2.09%
(Inception date March 2, 1998).
date JNL/JPMorgan International Value Fund (Class A) MSCI All Country World (ex U.S.) Index
3/2/1998 10,000.00 10,000.00
3/31/1998 10,490.00 10,172.92
4/30/1998 10,750.00 10,230.45
5/31/1998 10,320.00 10,028.23
6/30/1998 10,230.00 9,976.11
7/31/1998 10,270.00 10,055.23
8/31/1998 8,560.00 8,621.46
9/30/1998 8,140.00 8,424.36
10/31/1998 9,200.00 9,292.85
11/30/1998 9,600.00 9,778.49
12/31/1998 9,875.81 10,099.37
1/31/1999 10,046.77 10,074.91
2/28/1999 9,745.07 9,835.63
3/31/1999 10,278.08 10,294.95
4/30/1999 10,750.75 10,794.99
5/31/1999 10,408.82 10,270.82
6/30/1999 11,022.29 10,737.95
7/31/1999 11,384.33 10,974.69
8/31/1999 11,535.18 10,998.39
9/30/1999 11,565.35 11,057.82
10/31/1999 11,927.40 11,455.15
11/30/1999 12,460.41 11,899.54
12/31/1999 13,630.84 13,020.00
1/31/2000 12,801.59 12,298.12
2/29/2000 13,247.31 12,616.88
3/31/2000 13,371.70 13,076.18
4/30/2000 12,780.86 12,331.10
5/31/2000 12,594.28 11,999.28
6/30/2000 13,216.22 12,491.85
7/31/2000 12,791.22 11,984.42
8/31/2000 13,040.00 12,118.22
9/30/2000 12,376.60 11,431.90
10/31/2000 11,785.76 11,055.79
11/30/2000 11,153.45 10,546.89
12/31/2000 11,524.73 10,893.00
1/31/2001 11,583.59 11,051.34
2/28/2001 10,677.15 10,167.69
3/31/2001 9,652.99 9,418.28
4/30/2001 10,347.54 10,033.84
5/31/2001 10,218.04 9,721.21
6/30/2001 9,923.75 9,330.13
7/31/2001 9,523.50 9,115.73
8/31/2001 9,488.18 8,871.90
9/30/2001 8,428.71 7,916.70
10/31/2001 8,675.92 8,136.17
11/30/2001 9,040.85 8,501.08
12/31/2001 9,182.28 8,607.35
1/31/2002 8,660.96 8,212.27
2/28/2002 8,613.57 8,260.78
3/31/2002 9,075.64 8,680.94
4/30/2002 9,182.28 8,679.99
5/31/2002 9,241.52 8,739.77
6/30/2002 8,566.18 8,345.48
7/31/2002 7,464.30 7,524.28
8/31/2002 7,322.13 7,505.93
9/30/2002 6,445.37 6,697.93
10/31/2002 6,706.02 7,051.80
11/30/2002 7,014.08 7,381.73
12/31/2002 6,740.64 7,137.97
1/31/2003 6,522.42 6,882.47
2/28/2003 6,292.08 6,728.46
3/31/2003 6,122.35 6,565.95
4/30/2003 6,728.52 7,165.37
5/31/2003 7,104.35 7,588.58
6/30/2003 7,371.06 7,777.42
7/31/2003 7,540.79 7,974.32
8/31/2003 7,807.51 8,190.91
9/30/2003 7,965.11 8,405.20
10/31/2003 8,547.04 8,943.15
11/30/2003 8,716.77 9,123.55
12/31/2003 9,398.67 9,814.63
1/31/2004 9,582.96 9,964.50
2/29/2004 9,853.24 10,204.06
3/31/2004 10,037.53 10,223.70
4/30/2004 9,705.81 9,869.94
5/31/2004 9,693.53 9,846.56
6/30/2004 9,914.67 10,045.37
7/31/2004 9,607.53 9,741.77
8/31/2004 9,705.81 9,792.77
9/30/2004 10,074.39 10,091.50
10/31/2004 10,320.11 10,433.96
11/30/2004 10,909.83 11,137.00
12/31/2004 11,516.75 11,606.34
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/LAZARD MID CAP VALUE FUND
[INSERT LOGO] LAZARD ASSET MANAGEMENT
TEAM MANAGEMENT
OBJECTIVE:
JNL/Lazard Mid Cap Value Fund is a non-diversified Fund that seeks as its
investment objective capital appreciation by investing primarily in equity
securities of U.S. companies with market capitalizations in the range of
companies represented in the Russell Midcap(R) Index that the subadviser
considers undervalued based on their return on equity.
MONEY MANAGER COMMENTARY:
The Fund's Class A shares returned 24.72% vs. 18.37% for it's benchmark the
Russell Midcap Index. US stocks spent most of 2004 in a trading range as strong
earnings growth was offset by concerns over rising interest rates and the
sustainability of a global economic rebound. However, a rally following the US
presidential election drove equities to modest gains for the year. Energy stocks
were strong during the year as oil prices rose sharply while technology stocks
lagged as corporate spending on IT products has yet to significantly rebound.
Mid cap stocks handily outperform large caps and slightly outperformed small
caps during 2004.
Stock selection in consumer discretionary helped the Fund. Mandalay Resort
Group's stock rose considerably after MGM- Mirage's announced takeover bid for
Mandalay. This acquisition by MGM Mirage creates the largest U.S. casino-resort
company. Mandalay is a company that has consistently generated strong cash flow.
Stock selection in health care helped performance, as VISX Inc. rose
dramatically after the announcement that Advanced Medical Optics would acquire
it at a premium.
Conversely, the Fund was hurt by an underweight position in utilities, as this
defensive sector outperformed during the year.
While the mid cap market has now outperformed the large cap market for the past
few years, relative valuations are still only near average historical levels
and, thus, we believe that we may continue to see mid caps perform admirably
over the course of 2005. Despite the quick market rally of the third and fourth
quarters of 2004, earnings growth expectations for 2005 look reasonable as the
domestic economy continues to expand and absolute valuations, while not at the
significant discount of the past few years, are well within historical norms. We
believe that the pickup in merger and acquisition activity that was seen in 2004
should continue to be a positive backdrop for mid cap performance in 2005.
AVERAGE ANNUAL TOTAL RETURN
1 year 24.72%
5 year 14.39%
Since inception 9.82%
(Inception date March 2, 1998).
date JNL/Lazard Mid Cap Value Fund (Class A) Russell Midcap Index
03/02/1998 10,000.00 10,000.00
03/31/1998 10,420.00 10,461.08
04/30/1998 10,410.00 10,475.92
05/31/1998 9,880.00 10,137.84
06/30/1998 9,670.00 10,261.03
07/31/1998 9,000.00 9,765.60
08/31/1998 7,460.00 8,190.45
09/30/1998 7,890.00 8,695.03
10/31/1998 8,300.00 9,282.97
11/30/1998 8,790.00 9,710.71
12/31/1998 9,235.56 10,264.29
01/31/1999 9,125.25 10,239.89
02/28/1999 8,904.64 9,882.09
03/31/1999 9,024.98 10,176.87
04/30/1999 9,757.00 10,921.35
05/31/1999 9,877.33 10,876.63
06/30/1999 10,107.97 11,245.01
07/31/1999 9,726.92 10,925.63
08/31/1999 9,145.31 10,625.56
09/30/1999 8,794.34 10,236.65
10/31/1999 9,145.31 10,713.79
11/30/1999 9,355.89 11,003.90
12/31/1999 9,677.21 11,955.33
01/31/2000 8,913.48 11,551.78
02/29/2000 9,425.98 12,426.77
03/31/2000 10,330.39 13,110.66
04/30/2000 10,229.90 12,486.74
05/31/2000 10,380.64 12,133.81
06/30/2000 10,360.54 12,472.50
07/31/2000 10,340.44 12,328.77
08/31/2000 11,204.66 13,489.60
09/30/2000 11,275.00 13,277.15
10/31/2000 11,777.45 13,065.92
11/30/2000 11,425.74 11,872.36
12/31/2000 12,132.36 12,759.35
01/31/2001 12,597.00 12,954.31
02/28/2001 12,452.44 12,148.64
03/31/2001 11,998.13 11,379.57
04/30/2001 12,751.88 12,345.03
05/31/2001 13,381.73 12,553.83
06/30/2001 13,288.80 12,421.69
07/31/2001 13,040.99 12,055.55
08/31/2001 13,164.90 11,573.53
09/30/2001 11,533.48 10,162.85
10/31/2001 12,173.66 10,555.62
11/30/2001 13,092.62 11,423.49
12/31/2001 13,738.58 11,862.61
01/31/2002 13,899.26 11,782.92
02/28/2002 14,071.43 11,643.06
03/31/2002 14,473.14 12,324.92
04/30/2002 14,105.86 12,077.30
05/31/2002 13,991.08 11,923.81
06/30/2002 13,199.14 11,111.02
07/31/2002 11,948.09 10,016.47
08/31/2002 11,971.04 10,056.31
09/30/2002 11,075.80 9,115.65
10/31/2002 11,569.33 9,565.76
11/30/2002 12,372.76 10,212.65
12/31/2002 11,803.87 9,793.45
1/31/2003 11,526.94 9,588.52
2/28/2003 11,365.40 9,445.61
3/31/2003 11,400.02 9,523.47
4/30/2003 12,080.79 10,206.35
5/31/2003 12,784.64 11,122.20
6/30/2003 12,969.25 11,219.58
7/31/2003 13,500.02 11,578.40
8/31/2003 13,996.18 12,063.47
9/30/2003 13,696.18 11,895.75
10/31/2003 14,503.87 12,792.70
11/30/2003 14,757.72 13,132.82
12/31/2003 15,214.14 13,502.83
1/31/2004 15,803.75 13,885.83
2/29/2004 16,219.94 14,165.98
3/31/2004 16,335.55 14,148.29
4/30/2004 16,034.97 13,618.08
5/31/2004 16,428.04 13,935.03
6/30/2004 16,925.16 14,298.93
7/31/2004 16,300.87 13,661.79
8/31/2004 16,254.63 13,699.61
9/30/2004 16,809.55 14,124.09
10/31/2004 17,144.81 14,500.81
11/30/2004 18,208.42 15,360.55
12/31/2004 18,974.94 15,983.65
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/LAZARD SMALL CAP VALUE FUND
[INSERT LOGO] LAZARD ASSET MANAGEMENT
TEAM MANAGEMENT
OBJECTIVE:
JNL/Lazard Small Cap Value Fund is a non-diversified Fund that seeks as its
investment objective capital appreciation by investing primarily in equity
securities of U.S. companies with market capitalizations in the range of
companies represented by the Russell 2000 Index that the subadviser believes are
undervalued based on their return on equity.
MONEY MANAGER COMMENTARY:
U.S. stocks ended 2004 with their best quarterly performance of the year as oil
prices crested, easing concerns that higher energy costs would restrain earnings
and economic growth. The rally started right after the definitive outcome of the
U.S. presidential election. From a sector perspective, the rally was broad
based, although health care and energy stocks lagged the broad market while
technology and consumer discretionary outperformed. For the year 2004, small and
mid cap stocks continued to outperform larger caps.
For the year the Fund's Class A shares returned 15.38% vs. 18.44% for it's
benchmark the Russell 2000 Index. During the 4th quarter, the Fund
underperformed the Russell 2000 Index by approximately 200 basis points. The
Fund benefited from stock selection in health care and consumer staples.
Conversely, stock selection in consumer discretionary, technology, and
materials/processing detracted from performance. Sector attribution was not a
factor in the Portfolio's underperformance.
In health care, the Fund benefited from our position in Select Medical, a
provider of in-hospital long-term acute care, which was acquired by a private
equity firm at a substantial premium. Additionally, Inamed, a medical device
manufacturer, continued to post impressive revenue and earnings gains. In
consumer staples, our holding in Robert Mondavi, a maker of premium wines,
agreed to be acquired at a premium by Constellation Brands.
Conversely, in consumer discretionary, our holding in Gymboree (GYMB), a leading
merchandiser of children's clothing, experienced ongoing difficulties in
merchandising, which led to weaker-than-expected same-store sales results.
Learning Tree, a provider of outsourced IT educational services, continued to
experience weak enrollment for its technology-related class offerings as
corporations continued to restrain their IT outlays. Finally, BearingPoint, a
leading IT consultancy, experienced improvements in certain areas of its
business, but continued losses in its international division overshadowed these
positives.
In technology, results were negatively impacted by our holdings in Zoran and
Commscope. Zoran is a supplier of semiconductors used in consumer electronics,
including DVD players. A slower-than-expected sales ramp of DVD players for the
holiday season, as well as inventory issues with customers in China, led to
disappointing third quarter 2004 results. Commscope is a manufacturer of coaxial
and fiber optic cabling sold to cable and enterprise customers. Recent results
were short of management's prior guidance, owing to a slowdown in customer
purchasing patterns. We have sold our holdings of Zoran but continue to like the
longer-term prospects for CTV.
Materials/processing results were largely hurt by our focus away from the
commodity producers of chemicals, metals, and precious metals. Producers of
commodity goods continued to benefit from strong global demand, especially from
China, and years of underinvestment in production infrastructure. We continue
with our underweight position in this sector, although we have found select
names, such as Chicago Bridge & Iron, that may continue to benefit from
commodity-related infrastructure builds.
While the small cap market has now outperformed the large cap market for the
past six years, relative valuations are still only near average historical
levels and, thus, we believe that we may continue to see small caps perform
admirably over the course of 2005. Despite the quick market rally of the third
and fourth quarters of 2004, earnings growth expectations for 2005 look
reasonable as the domestic economy continues to expand and absolute valuations,
while not at the significant discount of a few years past, are well within
historical norms. We believe that the pickup in merger and acquisitions activity
that was seen in 2004 should continue to be a positive backdrop for small cap
performance in 2005.
AVERAGE ANNUAL TOTAL RETURN
1 year 15.38%
5 year 12.63%
Since inception 7.21%
(Inception date March 2, 1998).
date JNL/Lazard Small Cap Value Fund (Class A) Russell 2000 Index
03/02/1998 10,000.00 10,000.00
03/31/1998 10,350.00 10,420.44
04/30/1998 10,360.00 10,368.36
05/31/1998 9,820.00 9,804.33
06/30/1998 9,640.00 9,820.86
07/31/1998 8,860.00 9,018.90
08/31/1998 7,340.00 7,270.48
09/30/1998 7,480.00 7,833.07
10/31/1998 7,960.00 8,154.40
11/30/1998 8,370.00 8,584.94
12/31/1998 8,707.85 9,120.91
01/31/1999 8,587.74 9,239.25
02/28/1999 7,917.13 8,494.16
03/31/1999 7,937.15 8,625.14
04/30/1999 8,867.99 9,397.11
05/31/1999 9,278.36 9,535.87
06/30/1999 9,538.60 9,963.92
07/31/1999 9,418.49 9,689.32
08/31/1999 8,968.08 9,332.65
09/30/1999 8,787.92 9,332.51
10/31/1999 8,377.55 9,372.17
11/30/1999 8,537.69 9,942.75
12/31/1999 8,876.77 11,068.33
01/31/2000 8,605.65 10,888.55
02/29/2000 8,645.82 12,688.46
03/31/2000 9,348.73 11,853.46
04/30/2000 9,378.85 11,139.87
05/31/2000 9,288.48 10,489.39
06/30/2000 9,338.69 11,406.28
07/31/2000 9,398.94 11,049.36
08/31/2000 9,890.98 11,888.19
09/30/2000 9,770.48 11,536.10
10/31/2000 9,901.02 11,022.12
11/30/2000 9,499.35 9,890.06
12/31/2000 10,349.96 10,745.25
01/31/2001 10,631.86 11,304.77
02/28/2001 10,410.36 10,563.24
03/31/2001 10,007.64 10,046.86
04/30/2001 10,511.04 10,832.51
05/31/2001 11,105.06 11,097.96
06/30/2001 11,366.83 11,476.74
07/31/2001 11,266.15 10,871.12
08/31/2001 11,316.49 10,519.87
09/30/2001 10,198.93 9,102.58
10/31/2001 10,662.06 9,636.16
11/30/2001 11,397.03 10,382.62
12/31/2001 12,144.92 11,024.22
01/31/2002 12,208.84 10,910.24
02/28/2002 12,155.58 10,611.69
03/31/2002 13,071.77 11,465.31
04/30/2002 13,125.04 11,569.58
05/31/2002 12,507.14 11,056.23
06/30/2002 11,867.93 10,506.72
07/31/2002 10,152.73 8,919.71
08/31/2002 10,493.64 8,896.89
09/30/2002 9,620.06 8,257.80
10/31/2002 10,120.77 8,522.40
11/30/2002 10,664.09 9,282.78
12/31/2002 10,053.60 8,766.78
1/31/2003 9,850.39 8,525.17
2/28/2003 9,572.31 8,267.65
3/31/2003 9,572.31 8,374.07
4/30/2003 10,288.90 9,167.69
5/31/2003 11,198.00 10,151.40
6/30/2003 11,337.04 10,335.94
7/31/2003 12,096.41 10,982.20
8/31/2003 12,449.35 11,486.05
9/30/2003 12,203.36 11,274.36
10/31/2003 13,058.99 12,220.84
11/30/2003 13,572.36 12,654.49
12/31/2003 13,957.39 12,912.75
1/31/2004 14,438.68 13,474.61
2/29/2004 14,652.59 13,595.41
3/31/2004 14,556.33 13,722.09
4/30/2004 14,010.87 13,022.33
5/31/2004 14,267.56 13,231.99
6/30/2004 14,791.63 13,790.25
7/31/2004 14,053.65 12,862.04
8/31/2004 14,042.96 12,795.80
9/30/2004 14,406.60 13,396.41
10/31/2004 14,588.42 13,663.16
11/30/2004 15,711.43 14,851.93
12/31/2004 16,104.05 15,293.36
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
[INSERT LOGO] MELLON CAPITAL MANAGEMENT CORP.
TEAM MANAGEMENT
OBJECTIVE:
JNL/Mellon Capital Management Bond Index Fund seeks as its investment objective
a moderate rate of income by investing in domestic fixed income investments,
matching the performance of the Lehman Brothers Aggregate Bond Index.
MONEY MANAGER COMMENTARY:
U.S. MARKET OVERVIEW: The U.S. bond market had another stellar year, as the
Lehman Brothers Aggregate Bond Index gained 4.34%. 2004 marked the fifth
straight year of gains for the broad index, and bested the 4.1% return of 2003.
Bonds were able to gain despite the Federal Reserve's (the Fed) adoption of a
tightening stance on interest rates. Beginning in June, the Fed raised the Fed
Funds rate five times, to 2.25% from 1%. Despite rates rising at the short end
of the yield curve, longer term rates finished the year lower. The 10-year note
began the year with a yield of 4.4% and closed 2004 at 4.2%. The flattening of
the yield curve meant that longer-maturity benchmarks outperformed
shorter-maturity benchmarks. Corporate, mortgage, and agency bonds outperformed
treasuries, as investors sought alternatives to continued historically low
yields on Treasuries.
The first quarter proved volatile for fixed-income markets, yet the Lehman
Brothers Aggregate Bond Index returned 2.66%, its best quarter since the third
quarter of 2002. The yield on the benchmark 10-year Treasury note went from a
high of 4.38% on January 2nd to a low of 3.67% on March 16th. The Lehman
Brothers Aggregate Bond Index returned -2.4% in the second quarter, bringing its
2004 return to 0.2%. The yield on the 10- year Treasury note, which moves
inversely to its price, surged to 4.62% from 3.86% at the prior quarter-end.
Bonds prices rallied in the third quarter even though the Fed continued to raise
short-term interest rates. Concerns about economic softness kept yield lower,
helped by record-high oil prices. Bonds finished the year with small gains in
the fourth quarter after investors believed that inflation was under control,
despite warnings from the Fed that longer-term interest rates are expected to
rise.
2004 was characterized by dramatic moves in interest rates as the market
sentiment shifted from one of fears of an economic slowdown with the potential
for deflation to the signs of a robust economic recovery. As the year
progressed, the signs of a strong recovery were tempered somewhat by moderating
economic indicators and surging oil prices. The year ended with the Fed removing
monetary accommodation at a measured pace having increased interest rates on the
short end by 125 basis points, and rates on the long end finishing the year at
about the same level that they began, after fluctuating over 100 basis points
during the year.
The Lehman Aggregate Bond Index returned 4.34% for 2004. Treasuries generated a
better return in 2004, 3.54% vs. the 2.24% generated in 2003. Spread products
had another strong year albeit generally weaker than 2003's numbers. Most spread
sectors ended the year, with smartly tighter spreads and significant excess
returns over treasuries. Agencies returned 78 basis points (bps) over
Treasuries. Corporates returned over 150 bps in excess return to Treasuries, and
mortgages had over 140 bps of excess return due to lower volatility and steady
demand.
FUND SPECIFIC OVERVIEW: The Fund's Class A shares return of 3.74% closely
tracked the Lehman Brothers Aggregate Bond Index performance in 2004. Like the
index, credit and structured product were the best performing asset classes.
Lower quality corporate bonds outperformed their higher quality peers,
generating higher excess returns as spreads contracted on signs of strengthening
economic conditions.
AVERAGE ANNUAL TOTAL RETURN
1 year 3.74%
Since inception 5.09%
(Inception date January 15, 2002).
JNL/Mellon Capital Management Lehman Brothers
date Bond Index Fund (Class A) Aggregate Bond Index
1/15/2002 10,000.00 10,000.00
1/31/2002 9,940.00 10,080.00
2/28/2002 10,040.00 10,177.78
3/31/2002 9,860.00 10,008.82
4/30/2002 10,030.00 10,203.00
5/31/2002 10,130.00 10,289.72
6/30/2002 10,230.00 10,379.24
7/31/2002 10,390.00 10,504.83
8/31/2002 10,550.00 10,682.36
9/30/2002 10,720.00 10,855.42
10/31/2002 10,670.00 10,805.48
11/30/2002 10,640.00 10,802.24
12/31/2002 10,855.18 11,025.85
1/31/2003 10,855.18 11,035.77
2/28/2003 11,000.20 11,188.06
3/31/2003 10,979.48 11,179.11
4/30/2003 11,041.63 11,271.90
5/31/2003 11,238.43 11,481.56
6/30/2003 11,207.36 11,458.59
7/31/2003 10,824.11 11,073.59
8/31/2003 10,875.90 11,146.67
9/30/2003 11,165.92 11,442.06
10/31/2003 11,041.63 11,335.65
11/30/2003 11,062.34 11,362.85
12/31/2003 11,166.40 11,478.75
1/31/2004 11,262.39 11,570.58
2/29/2004 11,369.04 11,695.55
3/31/2004 11,454.36 11,783.26
4/30/2004 11,155.74 11,476.90
5/31/2004 11,102.41 11,430.99
6/30/2004 11,155.74 11,495.60
7/31/2004 11,262.39 11,609.54
8/31/2004 11,475.69 11,830.99
9/30/2004 11,497.02 11,863.09
10/31/2004 11,582.34 11,962.74
11/30/2004 11,486.36 11,867.04
12/31/2004 11,584.16 11,976.22
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
(FORMERLY JNL/CURIAN ENHANCED S&P 500 STOCK INDEX FUND)*
[INSERT LOGO] MELLON CAPITAL MANAGEMENT CORP.
TEAM MANAGEMENT
OBJECTIVE:
The JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund seeks to
exceed the performance of the S&P 500 Index by tilting towards stocks having
higher expected return while maintaining overall index characteristics.
MONEY MANAGER COMMENTARY:
U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the
first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil
prices, and rising short-term interest rates, the S&P 500 Index rose 10.88%
while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as
measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%)
for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index
reached an all-time high at year's end. Though both styles (large and small)
reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index
remains about 15% below its all-time high. In addition, mid-cap stocks
outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks
strongly outperformed growth stocks across all capitalization sectors.
Equities had their ups and downs during the first quarter of the year, but
finished in positive territory for the fourth quarter in a row. Evidence of
economic strength, coupled with favorable earnings reports, overcame the
negative sentiment brought on by terrorism and persistent worries about
unemployment.
U.S. stocks were largely flat during the second quarter, as strength in the
overall economy was offset by higher oil prices, the prospect of rising interest
rates, continued geopolitical concerns surrounding the handover of power in
Iraq, and the presidential election in November.
Stocks lost ground in the third quarter, as high energy prices, rising interest
rates, uncertainty surrounding the upcoming presidential election, and the worst
hurricane season in 40 years combined to keep investors on the defensive. Due to
the soft economy and oil prices near 21-year highs, many companies warned of
lower profits. Equities finished the year with solid gains, as stocks rose
sharply in November and December.
The fourth quarter's return of 9.2% for the S&P 500 comprised most of the
market's gain for the year.
FUND SPECIFIC OVERVIEW: The Fund produced strong performance throughout the
year. As expected, there was a divergence in performance between the different
economic sectors and portfolio characteristics of the index; however, our
strategy does not take concentrated bets in any specific economic sector or any
particular portfolio characteristic such as P/E or P/B. Instead, we believe that
sector exposures and exposures to different factors such as P/E and P/B are
systematic risks that cannot be diversified. Therefore the portfolio is
constructed to be neutral on sector level risks and other factors such as P/E
and P/B. For the year, our stock selection process successfully identified the
most attractive stocks, contributing to the overall good performance of the
Fund. The Fund's Class A shares returned 11.27% vs. 10.81% for it's benchmark
the S&P 500 Index.
The stocks with the largest positive contribution to return were the following:
Veritas Software (+26 bps), EOG Resources Inc (+22 bps), Yahoo (+20 bps), Merck
(+16 bps), Stryker Corp (+16 bps), Cisco Systems (+15bps) Pulte Homes (+12 bps).
The stocks with the largest negative contribution to the Fund's return were the
following: PMC-Sierra Inc (-18 bps), Qualcomm Inc (-16 bps), Texas Instruments
(-15 bps), Coca Cola Co (-14 bps), Teradyne Inc (-13 bps), Applied Materials
(-12 bps), Conoco phillips (-12 bps).
AVERAGE ANNUAL TOTAL RETURN
1 year 11.27%
5 year -3.36%
Since inception -1.84%
(Inception date May 16, 1999).
*Prior to 12/15/2003, the Fund was managed by JP Morgan Investment Management
Inc. Prior to 02/18/2004, the Fund was managed by Curian Capital LLC.
JNL/Mellon Capital Management Enhanced
date S&P 500 Stock Index Fund (Class A) S&P 500 Index
05/16/1999 10,000.00 10,000.00
05/31/1999 9,770.00 9,723.48
06/30/1999 10,240.00 10,263.11
07/31/1999 9,910.00 9,942.65
08/31/1999 9,840.00 9,893.48
09/30/1999 9,570.00 9,622.24
10/31/1999 10,080.00 10,231.16
11/30/1999 10,240.00 10,439.15
12/31/1999 10,685.25 11,053.96
01/31/2000 10,119.68 10,498.59
02/29/2000 9,897.49 10,299.84
03/31/2000 10,877.14 11,307.48
04/30/2000 10,483.26 10,967.30
05/31/2000 10,240.87 10,742.27
06/30/2000 10,483.26 11,007.09
07/31/2000 10,331.77 10,834.99
08/31/2000 10,978.13 11,508.00
09/30/2000 10,271.17 10,900.43
10/31/2000 10,250.97 10,854.35
11/30/2000 9,392.52 9,998.61
12/31/2000 9,469.07 10,047.53
01/31/2001 9,864.46 10,404.01
02/28/2001 8,921.61 9,455.34
03/31/2001 8,333.59 8,856.33
04/30/2001 9,053.40 9,544.56
05/31/2001 9,154.79 9,608.52
06/30/2001 8,941.88 9,374.66
07/31/2001 8,850.64 9,282.35
08/31/2001 8,282.90 8,701.28
09/30/2001 7,502.26 7,998.63
10/31/2001 7,664.47 8,151.15
11/30/2001 8,272.76 8,776.41
12/31/2001 8,353.88 8,853.43
01/31/2002 8,160.55 8,729.48
02/28/2002 7,967.22 8,561.14
03/31/2002 8,272.48 8,883.12
04/30/2002 7,712.84 8,344.55
05/31/2002 7,641.61 8,283.08
06/30/2002 7,041.27 7,693.09
07/31/2002 6,491.81 7,093.35
08/31/2002 6,532.51 7,139.89
09/30/2002 5,789.72 6,363.92
10/31/2002 6,278.13 6,924.06
11/30/2002 6,664.79 7,331.60
12/31/2002 6,270.21 6,896.96
1/31/2003 6,107.35 6,716.28
2/28/2003 6,015.74 6,615.51
3/31/2003 6,076.82 6,679.74
4/30/2003 6,575.58 7,229.98
5/31/2003 6,952.20 7,610.91
6/30/2003 7,023.45 7,707.96
7/31/2003 7,104.89 7,843.88
8/31/2003 7,227.03 7,996.83
9/30/2003 7,145.60 7,911.96
10/31/2003 7,573.12 8,359.47
11/30/2003 7,674.91 8,433.02
12/31/2003 8,094.11 8,875.35
1/31/2004 8,226.80 9,038.25
2/29/2004 8,318.66 9,163.84
3/31/2004 8,216.59 9,025.59
4/30/2004 8,114.53 8,883.88
5/31/2004 8,226.80 9,005.80
6/30/2004 8,400.32 9,180.99
7/31/2004 8,094.11 8,876.67
8/31/2004 8,124.73 8,912.61
9/30/2004 8,226.80 9,009.08
10/31/2004 8,369.70 9,146.74
11/30/2004 8,716.74 9,516.79
12/31/2004 9,006.25 9,840.71
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
[INSERT LOGO] MELLON CAPITAL MANAGEMENT CORP.
TEAM MANAGEMENT
OBJECTIVE:
JNL/Mellon Capital Management International Index Fund seeks as its investment
objective long-term capital growth by investing in international equity
securities attempting to match the characteristics of each country within the
MSCI E.A.FE. Index.
MONEY MANAGER COMMENTARY: INTERNATIONAL MARKET OVERVIEW: International equity
markets enjoyed a strong year, as the MSCI EAFE Index gained 10.2% in local
terms and 17.6% is U.S. dollar terms. The U.S. dollar finished the year at a
nine-year low against a basket of major currencies, which boosted returns for
U.S. investors. Within the MSCI EAFE Index, all markets posted positive returns
in U.S. dollar terms, while Finland was the only negative market in local terms.
The best-performing countries in U.S.-dollar terms were Austria (74%), Norway
(49.6%), and Greece (41.2%). The lowest performers were the Netherlands (9.13%)
and Finland (8%).
Generally, the international equity markets began the year reaching new highs,
but experienced sharp corrections following the Madrid terrorist attack in
mid-March. The euro weakened against the U.S. dollar, while the Japanese yen
continued to strengthen against the U.S. currency. Overall, returns in U.S.
dollar terms were sub par for European equities and very strong for Japanese
equities, particularly Japanese financial stocks. During the second quarter of
2004, international equity markets had mixed performance. The euro strengthened
against the U.S. dollar, while the Japanese yen was unchanged against the U.S.
currency. By and large, returns in U.S. dollar terms were strong for European
equities and sub par for Japanese equities. However, by the end of the third
quarter, the international markets declined a bit, as the MSCI EAFE Index
dropped 0.23% in U.S. dollar terms. High oil prices and their potential drag on
global economic growth were major factors on overseas equity market returns. As
the year came to a close, international stocks again moved upward to finish with
solid gains, as continued low bond yields and higher expected earnings drove
investors into equities.
FUND SPECIFIC OVERVIEW: For the year, the Fund performed well, in line with
international markets. The Fund's Class A shares return of 19.49% closely
tracked the Index return of 20.25%.
The weak U.S. dollar positively impacted the performance of international
securities in 2004. The MSCI EAFE (Free) Index was up +13% in local currency
terms and +20% in U.S. dollar terms during the year. As the largest country
weight in the Fund, the U.K. (approximately 25% of the Fund) was the greatest
contributor to performance, in large part due to the appreciation of the British
pound versus the U.S. dollar (+8% for the year).
All the countries had favorable returns for the year, with Austria experiencing
the best performance at +74% in U.S. dollar terms, and Finland as the lowest
performing country, returning just +8%. The Fund's largest security holding, BP
PLC (2% of the Fund), a U.K. company, was the largest positive contributor to
performance, returning +24% in U.S. dollar terms, benefiting from the high price
of oil during the year. AstraZeneca PLC, (U.K.) was the largest negative
contributor to performance, losing -23% in U.S. dollar terms. The FDA rejected
the company's application for its experimental blood thinner Exanta and also
raised concerns about its anti-cholesterol drug Crestor, thus resulting in the
stock's price decline.
AVERAGE ANNUAL TOTAL RETURN
1 year 19.49%
Since inception 12.49%
(Inception date January 15, 2002).
JNL/Mellon Capital Management
date International Index Fund (Class A) MSCI E.A.FE. Index
1/15/2002 10,000.00 10,000.00
1/31/2002 9,790.00 9,778.00
2/28/2002 9,860.00 9,846.58
3/31/2002 10,440.00 10,379.20
4/30/2002 10,450.00 10,447.99
5/31/2002 10,600.00 10,580.37
6/30/2002 10,170.00 10,159.21
7/31/2002 9,170.00 9,156.29
8/31/2002 9,130.00 9,135.51
9/30/2002 8,140.00 8,154.41
10/31/2002 8,580.00 8,592.67
11/30/2002 8,960.00 8,982.65
12/31/2002 8,639.59 8,680.61
1/31/2003 8,271.08 8,318.21
2/28/2003 8,076.58 8,127.31
3/31/2003 7,933.27 7,967.62
4/30/2003 8,690.77 8,748.54
5/31/2003 9,212.83 9,278.64
6/30/2003 9,427.80 9,502.87
7/31/2003 9,612.05 9,732.90
8/31/2003 9,878.20 9,967.94
9/30/2003 10,164.82 10,275.21
10/31/2003 10,789.25 10,915.65
11/30/2003 11,024.69 11,158.33
12/31/2003 11,862.72 12,030.07
1/31/2004 12,018.12 12,200.19
2/29/2004 12,297.85 12,481.82
3/31/2004 12,339.30 12,552.05
4/30/2004 11,987.04 12,268.11
5/31/2004 12,090.65 12,294.06
6/30/2004 12,370.38 12,579.07
7/31/2004 11,955.96 12,170.83
8/31/2004 12,007.76 12,224.58
9/30/2004 12,318.58 12,544.08
10/31/2004 12,722.63 12,971.83
11/30/2004 13,592.91 13,857.98
12/31/2004 14,174.64 14,465.83
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
(FORMERLY JNL/CURIAN S&P 400 MIDCAP INDEX FUND)*
[INSERT LOGO] MELLON CAPITAL MANAGEMENT CORPORATION
TEAM MANAGEMENT
OBJECTIVE:
JNL/Mellon Capital Management S&P 400 MidCap Index Fund seeks as its investment
objective long-term capital growth by investing in equity securities of medium
capitalization weighted domestic corporations and matching the performance of
the S&P 400 Index.
MONEY MANAGER COMMENTARY:
U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the
first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil
prices, and rising short-term interest rates, the S&P 500 rose 10.88% while the
broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as measured by the
Russell 2000(R) Index (18.44%) outperformed large caps (11.40%) for the sixth
consecutive year in 2004, and the small-cap Russell 2000 Index reached an
all-time high at year's end. Though both styles (large and small) reflected a
positive year for U.S. equities, the large-cap Russell 1000(R) Index remains
about 15% below its all-time high. In addition, mid-cap stocks outperformed
large caps, as the S&P 400(R) Index rose 16.49%. Value stocks strongly
outperformed growth stocks across all capitalization sectors.
Equities had their ups and downs during the first quarter of the year, but
finished in positive territory for the fourth quarter in a row. Evidence of
economic strength, coupled with favorable earnings reports, overcame the
negative sentiment brought on by terrorism and persistent worries about
unemployment.
U.S. stocks were largely flat during the second quarter, as strength in the
overall economy was offset by higher oil prices, the prospect of rising interest
rates, continued geopolitical concerns surrounding the handover of power in
Iraq, and the presidential election in November.
Stocks lost ground in the third quarter, as high energy prices, rising interest
rates, uncertainty surrounding the upcoming presidential election, and the worst
hurricane season in 40 years combined to keep investors on the defensive. Due to
the soft economy and oil prices near 21-year highs, many companies warned of
lower profits. Equities finished the year with solid gains, as stocks rose
sharply in November and December.
The fourth quarter's return of 9.2% for the S&P 500 Index comprised most of the
market's gain for the year.
Fund Specific Overview: The Fund's Class A shares returned 15.79% v.s 16.39% for
it's benchmark the S&P 400 Index.
During the year, there were 37 company deletions and 37 additions to the Index.
As a result of these changes, the turnover for the index in 2004 was 16%. The
largest deletion from the Index was Gilead Sciences (GILD). It was a 1.3% name
in the S&P 400 Index before it was added to the S&P 500 Index.
The most notable add to the Index for the year was Urban Outfitters Inc. This
security was added to the index at the close of business on August 31, 2004.
Since its addition, the stock was up 46%, and for the year it was up 140%.
AVERAGE ANNUAL TOTAL RETURN
1 year 15.79%
Since inception 10.40%
(Inception date January 15, 2002).
*For the period from 12/15/03 until 02/17/04, the Fund was managed by Curian
Capital LLC.
JNL/Mellon Capital Management
date S&P 400 Mid Cap Index Fund (Class A) S&P 400 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 10,080.00 10,031.85
2/28/2002 10,090.00 10,044.17
3/31/2002 10,800.00 10,762.20
4/30/2002 10,740.00 10,711.87
5/31/2002 10,560.00 10,531.22
6/30/2002 9,780.00 9,760.38
7/31/2002 8,830.00 8,814.76
8/31/2002 8,870.00 8,859.21
9/30/2002 8,150.00 8,145.51
10/31/2002 8,500.00 8,498.39
11/30/2002 8,980.00 8,989.94
12/31/2002 8,606.01 8,624.99
1/31/2003 8,344.31 8,372.96
2/28/2003 8,143.00 8,173.54
3/31/2003 8,213.46 8,242.47
4/30/2003 8,797.26 8,840.74
5/31/2003 9,521.97 9,573.53
6/30/2003 9,642.76 9,695.41
7/31/2003 9,974.92 10,039.59
8/31/2003 10,417.80 10,494.82
9/30/2003 10,256.75 10,334.16
10/31/2003 11,021.73 11,115.65
11/30/2003 11,394.16 11,502.98
12/31/2003 11,579.61 11,697.07
1/31/2004 11,821.90 11,950.45
2/29/2004 12,104.58 12,237.56
3/31/2004 12,155.05 12,289.40
4/30/2004 11,751.23 11,886.04
5/31/2004 11,983.43 12,132.63
6/30/2004 12,256.01 12,408.73
7/31/2004 11,670.47 11,829.85
8/31/2004 11,640.18 11,798.93
9/30/2004 11,973.33 12,148.43
10/31/2004 12,165.15 12,342.65
11/30/2004 12,871.84 13,077.69
12/31/2004 13,407.55 13,625.45
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
(FORMERLY JNL/CURIAN S&P 500 INDEX FUND)*
[INSERT LOGO] MELLON CAPITAL MANAGEMENT CORPORATION
TEAM MANAGEMENT
OBJECTIVE:
The JNL/Mellon Capital Management S&P 500 Index Fund seeks to match the
performance of the S&P 500 Index with minimal tracking error. The strategy is
constructed to mirror the index with the goal of providing long-term capital
growth by investing in equity securities of large domestic companies.
MONEY MANAGER COMMENTARY:
U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the
first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil
prices, and rising short-term interest rates, the S&P 500 Index rose 10.88%
while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as
measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%)
for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index
reached an all-time high at year's end. Though both styles (large and small)
reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index
remains about 15% below its all-time high. In addition, mid-cap stocks
outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks
strongly outperformed growth stocks across all capitalization sectors.
Equities had their ups and downs during the first quarter of the year, but
finished in positive territory for the fourth quarter in a row. Evidence of
economic strength, coupled with favorable earnings reports, overcame the
negative sentiment brought on by terrorism and persistent worries about
unemployment.
U.S. stocks were largely flat during the second quarter, as strength in the
overall economy was offset by higher oil prices, the prospect of rising interest
rates, continued geopolitical concerns surrounding the handover of power in
Iraq, and the presidential election in November.
Stocks lost ground in the third quarter, as high energy prices, rising interest
rates, uncertainty surrounding the upcoming presidential election, and the worst
hurricane season in 40 years combined to keep investors on the defensive. Due to
the soft economy and oil prices near 21-year highs, many companies warned of
lower profits. Equities finished the year with solid gains, as stocks rose
sharply in November and December.
The fourth quarter's return of 9.2% for the S&P 500 Index comprised most of the
market's gain for the year.
Fund Specific Overview: In 2004, the Fund's Class A shares return of 10.06%
closely tracked the S&P 500 Index return of 10.81%. There were 20 Index
additions and deletions throughout the year. The largest addition was News Corp
(NWS.A), which was added to the Index on December 17, 2004. The most significant
drops from the Index were due to mergers. The mergers included: PeopleSoft which
was removed after the merger with Oracle; Bank One which was acquired by JP
Morgan; AT&T Wireless which was acquired by Cingular Wireless; and FleetBoston
which was acquired by Bank of America. The Fund turnover that resulted from
these Index changes was 5.1%
AVERAGE ANNUAL TOTAL RETURN
1 year 10.06%
Since inception 3.13%
(Inception date January 15, 2002).
*For the period from 12/15/03 until 02/17/04, the Fund was managed by Curian
Capital LLC.
JNL/Mellon Capital Management
date S&P 500 Index Fund (Class A) S&P 500 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 9,920.00 9,865.00
2/28/2002 9,720.00 9,674.76
3/31/2002 10,080.00 10,038.62
4/30/2002 9,460.00 9,430.00
5/31/2002 9,380.00 9,360.53
6/30/2002 8,710.00 8,693.80
7/31/2002 8,040.00 8,016.04
8/31/2002 8,090.00 8,068.63
9/30/2002 7,210.00 7,191.72
10/31/2002 7,830.00 7,824.73
11/30/2002 8,280.00 8,285.28
12/31/2002 7,790.00 7,794.10
1/31/2003 7,580.00 7,589.92
2/28/2003 7,470.00 7,476.04
3/31/2003 7,530.00 7,548.64
4/30/2003 8,140.00 8,170.45
5/31/2003 8,570.00 8,600.92
6/30/2003 8,670.00 8,710.60
7/31/2003 8,820.00 8,864.20
8/31/2003 8,990.00 9,037.05
9/30/2003 8,890.00 8,941.14
10/31/2003 9,390.00 9,446.86
11/30/2003 9,460.00 9,529.97
12/31/2003 9,955.13 10,029.85
1/31/2004 10,127.12 10,213.93
2/29/2004 10,258.64 10,355.86
3/31/2004 10,096.77 10,199.63
4/30/2004 9,934.89 10,039.48
5/31/2004 10,066.42 10,177.27
6/30/2004 10,258.64 10,375.23
7/31/2004 9,914.66 10,031.34
8/31/2004 9,955.13 10,071.94
9/30/2004 10,056.30 10,180.97
10/31/2004 10,197.94 10,336.54
11/30/2004 10,602.62 10,754.72
12/31/2004 10,957.00 11,120.77
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
(FORMERLY JNL/CURIAN SMALL CAP INDEX FUND)*
[INSERT LOGO] MELLON CAPITAL MANAGEMENT CORPORATION
TEAM MANAGEMENT
OBJECTIVE:
The JNL/Mellon Capital Management Small Cap Index Fund seeks to match the
performance of the Russell 2000(R) Index with minimal tracking error. The
strategy is constructed to mirror the index to provide long-term capital growth
by investing in equity securities of small size domestic companies.
MONEY MANAGER COMMENTARY:
U.S. MARKET OVERVIEW: The U.S stock market posted its second annual gain for the
first time since 1999. Despite the ongoing geopolitical uncertainty, higher oil
prices, and rising short-term interest rates, the S&P 500 Index rose 10.88%
while the broad-cap Russell 3000(R) Index rose 11.9%. Small-cap stocks as
measured by the Russell 2000(R) Index (18.44%) outperformed large caps (11.40%)
for the sixth consecutive year in 2004, and the small-cap Russell 2000 Index
reached an all-time high at year's end. Though both styles (large and small)
reflected a positive year for U.S. equities, the large-cap Russell 1000(R) Index
remains about 15% below its all-time high. In addition, mid-cap stocks
outperformed large caps, as the S&P 400(R) Index rose 16.49%. Value stocks
strongly outperformed growth stocks across all capitalization sectors.
Equities had their ups and downs during the first quarter of the year, but
finished in positive territory for the fourth quarter in a row. Evidence of
economic strength, coupled with favorable earnings reports, overcame the
negative sentiment brought on by terrorism and persistent worries about
unemployment.
U.S. stocks were largely flat during the second quarter, as strength in the
overall economy was offset by higher oil prices, the prospect of rising interest
rates, continued geopolitical concerns surrounding the handover of power in
Iraq, and the presidential election in November.
Stocks lost ground in the third quarter, as high energy prices, rising interest
rates, uncertainty surrounding the upcoming presidential election, and the worst
hurricane season in 40 years combined to keep investors on the defensive. Due to
the soft economy and oil prices near 21-year highs, many companies warned of
lower profits. Equities finished the year with solid gains, as stocks rose
sharply in November and December.
The fourth quarter's return of 9.2% for the S&P 500 Index comprised most of the
market's gain for the year.
FUND SPECIFIC OVERVIEW: The Fund's Class A shares returned 17.42% vs. 18.33% for
it's benchmark the Russell 2000 Index. Russell implements a yearly restructuring
of their indexes in June of each year. During June 2004, turnover due to
Russell's restructuring was 18%. The fund must incur a similar amount of
turnover to maintain its composition to match the Russell 2000 Index. To help
improve the market coverage of their indecies, Russell announced in September
2004 a new policy of adding recent IPOs to their Indexes on a quarterly basis.
The Index turnover resulting from this new initiative was almost 1% in September
and 1% in December. Some of the largest IPO additions in 2004 were CB Richard
Ellis Group and Biomed Realty Trust in September, and Saxon Capital and Calamos
Asset Management in December. There was some underperformance in the Fund
associated with the Russell rebalance in June of 2004.
AVERAGE ANNUAL TOTAL RETURN
1 year 17.42%
Since inception 11.32%
(Inception date January 15, 2002).
*For the period from 12/15/03 until 02/17/04, the Fund was managed by Curian
Capital LLC.
JNL/Mellon Capital Management
date Small Cap Index Fund (Class A) Russell 2000 Index
1/15/2002 10,000.00 10,000.00
1/31/2002 10,010.00 9,965.00
2/28/2002 9,740.00 9,692.32
3/31/2002 10,520.00 10,471.98
4/30/2002 10,630.00 10,567.22
5/31/2002 10,150.00 10,098.34
6/30/2002 9,670.00 9,596.44
7/31/2002 8,220.00 8,146.93
8/31/2002 8,190.00 8,126.08
9/30/2002 7,600.00 7,542.36
10/31/2002 7,830.00 7,784.03
11/30/2002 8,500.00 8,478.54
12/31/2002 8,021.44 8,007.24
1/31/2003 7,789.08 7,786.56
2/28/2003 7,566.82 7,551.36
3/31/2003 7,647.65 7,648.56
4/30/2003 8,364.93 8,373.42
5/31/2003 9,233.75 9,271.90
6/30/2003 9,405.49 9,440.46
7/31/2003 9,981.34 10,030.73
8/31/2003 10,435.95 10,490.92
9/30/2003 10,244.01 10,297.57
10/31/2003 11,092.62 11,162.05
11/30/2003 11,476.52 11,558.13
12/31/2003 11,701.89 11,794.02
1/31/2004 12,192.02 12,307.20
2/29/2004 12,304.34 12,417.53
3/31/2004 12,416.66 12,533.24
4/30/2004 11,783.57 11,894.11
5/31/2004 11,967.37 12,085.60
6/30/2004 12,437.08 12,595.49
7/31/2004 11,609.99 11,747.70
8/31/2004 11,538.51 11,687.20
9/30/2004 12,069.48 12,235.78
10/31/2004 12,304.34 12,479.42
11/30/2004 13,356.08 13,565.19
12/31/2004 13,740.81 13,968.37
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/OPPENHEIMER GLOBAL GROWTH FUND
[INSERT LOGO] OPPENHEIMERFUNDS, INC.
WILLIAM L. WILBY
OBJECTIVE:
JNL/Oppenheimer Global Growth Fund seeks as its investment objective capital
appreciation.
MONEY MANAGER COMMENTARY:
The Fund turned in a strong performance for the 12 months ended December 31,
2004 on both an absolute and relative basis, outperforming the benchmark Morgan
Stanley Capital International (MSCI) World Index by a solid margin for the year.
The Fund's Class A shares returned 17.93% vs. 14.72% for it's benchmark the MSCI
World Index. We continued to focus on our four core themes; mass affluence, new
technology, restructuring, and demographic shifts, including aging with our
holdings in technology and consumer discretionary stocks paying off particularly
well.
Our performance through the year wasn't completely smooth, of course. After
participating strongly in the nine-month global stock rally that ended in
February 2004, our performance, like that of the overall global sector, slipped
in mid-March and stayed in a narrow range through the summer. The slowdown
during the first half of the reporting period was precipitated by concerns over
geopolitical uncertainties, rising short-term interest rates, high oil prices,
the U.S. Presidential election, the mounting U.S. current account deficit, and
the weakening U.S. dollar. In the second half, however, a clear and undisputed
election in the US, and continued good news on the global economy helped pave
the way for strong performance in the fourth quarter. The year also saw some
notable performance in some of the weaker areas of the Organization for Economic
Co-operation and Development (OECD). Japan, for example, continues to enjoy a
remarkable turnaround, emerging largely unaffected from China's efforts to slow
its overheated economy and a stock-market pullback following the Yen's calendar
second-quarter rally. In Europe, some companies successfully negotiated
concessions from labor unions, a sign that the long-needed restructuring on the
continent is finally gaining some momentum.
Beyond the broad market gain, Fund returns were also boosted by positions in
stocks reflecting its technology and mass-affluence themes. Sirius Satellite
Radio, Inc., QUALCOMM, Inc., and Ericsson (Telefonaktiebolaget LM Ericsson) were
the major contributors in technology, while Hennes & Mauritz AB and Reckitt
Benckiser plc were the key contributors in the mass affluence category. Gains in
these and other stocks were partly offset by declines in other issues, including
a Taiwanese semiconductor manufacturer that suffered during the industry's
sell-off. During the period we also began to build several positions, including
oil service companies Transocean, Inc. and Technip S.A., both of which should
benefit from a rebound in oil exploration spurred by the hike in energy prices.
Another acquisition, Toyota Motor Corp., lies within our mass-affluence theme.
There are some scattered clouds on the horizon, of course, including energy
prices, and the U.S. current account deficit. Overall, however, we're optimistic
about the prospects for the global economy. While the drivers differ from region
to region, we believe the global economy overall is poised for solid growth and
stocks worldwide are attractively priced.
AVERAGE ANNUAL TOTAL RETURN
1 year 17.93%
Since inception 4.93%
(Inception date May 1, 2001).
date JNL/Oppenheimer Global Growth Fund (Class A) MSCI World Index
5/1/2001 10,000.00 10,000.00
5/31/2001 9,820.00 9,722.00
6/30/2001 9,670.00 9,416.03
7/31/2001 9,480.00 9,290.17
8/31/2001 9,160.00 8,842.88
9/30/2001 8,010.00 8,062.51
10/31/2001 8,390.00 8,216.46
11/30/2001 9,080.00 8,701.30
12/31/2001 9,270.00 8,755.11
1/31/2002 8,990.00 8,488.98
2/28/2002 8,890.00 8,414.32
3/31/2002 9,400.00 8,784.97
4/30/2002 9,170.00 8,486.37
5/31/2002 9,120.00 8,500.52
6/30/2002 8,550.00 7,983.29
7/31/2002 7,600.00 7,309.67
8/31/2002 7,690.00 7,322.16
9/30/2002 6,970.00 6,515.99
10/31/2002 7,260.00 6,996.11
11/30/2002 7,660.00 7,372.25
12/31/2002 7,200.00 7,014.06
1/31/2003 6,920.00 6,800.32
2/28/2003 6,730.00 6,681.31
3/31/2003 6,640.00 6,659.25
4/30/2003 7,180.00 7,249.38
5/31/2003 7,790.00 7,662.12
6/30/2003 8,000.00 7,793.76
7/31/2003 8,290.00 7,951.12
8/31/2003 8,610.00 8,121.92
9/30/2003 8,720.00 8,170.80
10/31/2003 9,350.00 8,654.85
11/30/2003 9,530.00 8,785.66
12/31/2003 10,120.00 9,336.17
1/31/2004 10,380.00 9,485.98
2/29/2004 10,560.00 9,644.82
3/31/2004 10,550.00 9,580.82
4/30/2004 10,210.00 9,384.60
5/31/2004 10,270.00 9,462.91
6/30/2004 10,420.00 9,664.52
7/31/2004 9,920.00 9,348.97
8/31/2004 9,890.00 9,390.06
9/30/2004 10,310.00 9,567.70
10/31/2004 10,620.00 9,801.82
11/30/2004 11,470.00 10,316.72
12/31/2004 11,934.79 10,710.54
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/OPPENHEIMER GROWTH FUND
[INSERT LOGO] OPPENHEIMERFUNDS, INC.
BRUCE BARTLETT
OBJECTIVE:
JNL/Oppenheimer Growth Fund seeks as its investment objective capital
appreciation.
MONEY MANAGER COMMENTARY:
Performance was challenged during the Fund's 12-month fiscal period-a time of
significant volatility in the equity markets-with the Fund's results trailing
those of the broad stock market. The Fund's Class A shares returned 4.23% vs.
10.88% for it's benchmark the S&P 500 Index. Also hindering results was the
portfolio manager transition culminating with the changes made by David Poiesz,
the new portfolio manager who took over in June 2004. In the transition to new
portfolio management, we also implemented subtle shifts to create a mix of
well-established, classic growth stocks balanced by more-opportunistic and
dynamic emerging-growth stocks. In particular, we looked to add companies with
above-average earnings growth, strong and seasoned leadership, and healthy
balance sheets. We also took several steps to help manage the Fund's risk while
maintaining its growth focus.
When the period began, stocks were in the midst of an upward climb. Investors
noted an increasing amount of data suggesting a rapidly strengthening economy.
Stocks, especially growth stocks, performed well in the first few weeks of 2004.
Beginning in mid January 2004, however, stock prices headed lower as investors
developed new concerns. The stronger economy, for example, led to fears of
inflation, which would likely encourage the Fed to change course and raise
interest rates (the Fed did indeed change course and increase rates five times
before 2004 ended). Inflation concerns became even more pronounced following
better-than-expected employment data and tangible evidence of rising consumer
prices.
Other factors also weighed on the market. Oil prices soared to as much as $55
per barrel in October, threatening the global economic recovery. Geopolitical
worries increased after the March 2004 terrorist bombings in Spain and with
ongoing instability in Iraq. The Chinese government's plans to slow down
economic growth to ward off inflation drew concern from investors, who worried
that the efforts might go too far. Finally, the U.S. presidential election led
to questions about the future direction of equity prices. Investors were left
wondering whether to expect further declines or to view low valuations as an
attractive buying opportunity for stocks.
Nevertheless, the U.S. stock market closed out 2004 with a decent showing after
all. An optimistic outlook ultimately triumphed, as investors reacted favorably
to the decisive Republican victory in the November election as well as became
more comfortable with the FED's measured pace and an unusually clear road map
for future Fed actions. Additionally, soaring corporate profits have provided
companies with record amounts of cash with has in turn created a merger boom.
On a sector basis, we added to our holdings in the technology sector, especially
among higher-quality names, during the reporting period. We also selectively
purchased smaller-capitalization technology stocks that we believed were
particularly well positioned. Our computer and peripherals group that included
Apple Computer, EMC, and Sun Microsystems, and an emphasis in the software group
throughout the year led to an overall good technology performance. The
Industrials sector benefited from a strong US economy in 2004. We were
particularly pleased with our large position in General Electric Co., a
conglomerate giant. Our Consumer Discretionary sector was also a strong sector,
with most of the performance coming from our stock selection in specialty
retail, which included Staples, Inc., Home Depot, Inc, and a clothing retailer.
On the other hand, our modest exposure to hotels and restaurants group and a
couple of disappointing holdings such as Univision Communications, Inc.,
detracted from performance. Our Energy and Financials sectors were other
relative detractors from performance for the year.
Looking at the larger picture, we believe most companies have been posting
strong top and bottom line growth, and while the pace has slowed from
unsustainably high levels, we are optimistic regarding earnings. Given the fact
that the overall business environment continues to improve as evidenced by broad
based strength in capital spending and historically low debt to cash levels, we
continue to be optimistic regarding the outlook for growth stocks. Accordingly,
we are continuing to position the Fund to benefit from an environment of
long-term moderate economic growth. In doing so, we are finding fresh
opportunities to invest in growth-oriented companies with sound fundamentals and
strong prospects of earnings and revenue growth.
AVERAGE ANNUAL TOTAL RETURN
1 year 4.23%
Since inception -3.91%
(Inception date May 1, 2001).
date JNL/Oppenheimer Growth Fund (Class A) S&P 500 Index
5/1/2001 10,000.00 10,000.00
5/31/2001 9,910.00 9,931.00
6/30/2001 9,730.00 9,689.00
7/31/2001 9,560.00 9,594.00
8/31/2001 8,990.00 8,993.00
9/30/2001 8,740.00 8,267.00
10/31/2001 8,820.00 8,425.00
11/30/2001 9,290.00 9,071.00
12/31/2001 9,418.39 9,151.00
1/31/2002 9,128.14 9,022.46
2/28/2002 8,827.87 8,848.47
3/31/2002 9,088.10 9,181.26
4/30/2002 8,747.80 8,624.61
5/31/2002 8,577.64 8,561.08
6/30/2002 8,197.31 7,951.29
7/31/2002 7,586.76 7,331.41
8/31/2002 7,596.77 7,379.52
9/30/2002 7,266.48 6,577.50
10/31/2002 7,506.69 7,156.45
11/30/2002 7,326.53 7,577.66
12/31/2002 7,036.27 7,128.43
1/31/2003 6,856.11 6,941.69
2/28/2003 6,816.07 6,837.54
3/31/2003 7,056.29 6,903.93
4/30/2003 7,316.52 7,472.64
5/31/2003 7,676.84 7,866.35
6/30/2003 7,736.90 7,966.66
7/31/2003 8,087.21 8,107.14
8/31/2003 8,097.22 8,265.22
9/30/2003 7,877.02 8,177.50
10/31/2003 8,187.30 8,640.03
11/30/2003 8,107.23 8,716.05
12/31/2003 8,287.39 9,173.23
1/31/2004 8,457.54 9,341.59
2/29/2004 8,487.56 9,471.40
3/31/2004 8,327.42 9,328.51
4/30/2004 8,347.44 9,182.04
5/31/2004 8,467.55 9,308.06
6/30/2004 8,487.56 9,489.12
7/31/2004 7,937.07 9,174.59
8/31/2004 7,796.95 9,211.73
9/30/2004 7,947.08 9,311.45
10/31/2004 8,017.14 9,453.73
11/30/2004 8,397.48 9,836.20
12/31/2004 8,637.70 10,170.98
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/PIMCO TOTAL RETURN BOND FUND
[INSERT LOGO] PACIFIC INVESTMENT MANAGEMENT COMPANY
WILLIAM H. GROSS
OBJECTIVE:
JNL/PIMCO Total Return Bond Fund seeks as its investment objective to realize
maximum total return, consistent with preservation of capital and prudent
investment management through investment in a diversified portfolio of fixed
income securities of varying maturities. The average portfolio duration will
normally vary within a three to six year time frame based on the sub-adviser's
forecast for interest rates.
MONEY MANAGER COMMENTARY:
All fixed income sectors gained in the fourth quarter capping a year in which
bonds displayed unexpected growth. The Fund's Class A shares returned 4.45% vs.
4.31% for it's benchmark the Lehman Brothers Aggregate Bond Index. The yield on
the 10-year Treasury note fell by 3 basis points, to 4.22% at the end of the
year. The Lehman Brothers Aggregate Bond Index, a widely used index for the
high-grade bond market, returned 4.34% for the year despite several major
headwinds. These included expanding U.S. fiscal deficits, a falling U.S. dollar
and market perceptions as the year began that interest rates were bound to rise
from levels near historic lows.
Besides these headwinds, fixed income markets had to weather a tightening cycle
by the Federal Reserve that began in June. The central bank raised the federal
funds rate five times during the year for a total of 125 basis points. The
latest move came on December 14, when the Fed hiked rates by 25 basis points to
2.25%. Despite this tightening cycle, bond investors were encouraged by
statements from the Fed that it would continue to move at a measured pace.
Investors also understood that the Fed was lifting rates from unusually low
levels that had been set to ward off deflation.
The Fund focused on quality, value and prudent diversification outside of index
sectors in an environment where bond markets presented limited buying
opportunities. The Fund's below-market duration was negative for performance in
the falling interest rate environment. However, a focus on short to intermediate
maturities was a positive as yields in this portion of the yield curve fell the
most. With respect to sectors, holdings of European issues, TIPS (Treasury
Inflation Protected Securities), emerging market bonds, and municipal bonds all
contributed to relative performance. An underweight exposure to U.S. corporate
and mortgage-backed securities detracted from performance, although, security
selection in these sectors added value.
Global growth should slow in 2005 as the U.S. recovery cools off and Europe and
Japan prove unable to pick up the slack. Higher unit labor costs and a weaker
dollar should create inflationary pressure, but lingering overcapacity worldwide
may limit this impact over a cyclical time frame. The Fed should continue its
measured pace of tightening with a goal of 2.5% to 3% for a neutral fed funds
rate.
In this environment the Fund will be positioned defensively and look for value
as interest rates are near historical lows and core bond sectors continue to be
rich. Target U.S. duration below-index to limit risk from higher rates but take
exposure to intermediate maturities in Europe, where growth and rate pressures
will be more muted. Emphasize short/intermediate maturities, which offer
structural advantages given a steep yield curve. Underweight mortgages and
corporates as investors stretching for yield have bid valuations up to frothy
levels. Hold TIPS, which should outperform nominal bonds as the Fed seeks to
keep real yields low to stimulate the economy. Own emerging market bonds, which
could benefit from credit upgrades amid growing trade surpluses and ample
currency reserves. Hold longer maturity municipal bonds, which provide
attractive yields vs. Treasuries with modest credit risk.
Past performance is no guarantee of future results. This report contains the
current opinions of the manager and should not be considered as investment
advice or a recommendation of any particular security, strategy or investment
product. Such opinions are subject to change without notice. This report is
distributed for informational purposes only. Information contained herein has
been obtained from sources believed reliable, but not guaranteed.
Each sector of the bond market entails risk. Municipals may realize gains & may
incur a tax liability from time to time. The guarantee on Treasuries &
Government Bonds is to the timely repayment of principal and interest, shares of
a portfolio are not guaranteed. Mortgage-backed securities & Corporate Bonds may
be sensitive to interest rates. Inflation-indexed bonds issued by the U.S.
Government, also known as TIPS, are fixed-income securities whose principal
value is periodically adjusted according to the rate of inflation. Repayment
upon maturity of the original principal as adjusted for inflation is guaranteed
by the U.S. Government. Neither the current market value of inflation-indexed
bonds nor the value a portfolio that invests in inflation-indexed bonds is
guaranteed, and either or both may fluctuate. When interest rates rise, the
value of fixed income securities generally declines and there is no assurance
that private guarantors or insurers will meet their obligations. An investment
in high-yield securities generally involves greater risk to principal than an
investment in higher-rated bonds. Investing in non-U.S. securities may entail
risk due to non-U.S. economic and political developments, which may be enhanced
when investing in emerging markets. Duration is a measure of price sensitivity
to interest rates and is expressed in years. The credit quality of a particular
security or group of securities does not ensure the stability or safety of the
overall portfolio.
AVERAGE ANNUAL TOTAL RETURN
1 year 4.23%
5 year 7.82%
Since inception 6.49%
(Inception date March 2, 1998).
JNL/PIMCO Total Lehman Brothers
date Return Bond Fund (Class A) Aggregate Bond Index
3/2/1998 10,000.00 10,000.00
3/31/1998 9,940.00 9,917.91
4/30/1998 9,970.00 9,968.48
5/31/1998 10,200.00 10,064.19
6/30/1998 10,330.00 10,147.81
7/31/1998 10,290.00 10,169.17
8/31/1998 10,440.00 10,329.56
9/30/1998 10,650.00 10,577.07
10/31/1998 10,540.00 10,577.58
11/30/1998 10,510.00 10,581.19
12/31/1998 10,569.69 10,613.03
1/31/1999 10,694.53 10,688.84
2/28/1999 10,465.66 10,502.21
3/31/1999 10,600.90 10,560.48
4/30/1999 10,559.29 10,593.95
5/31/1999 10,476.06 10,501.12
6/30/1999 10,434.45 10,467.58
7/31/1999 10,413.64 10,423.11
8/31/1999 10,434.45 10,417.82
9/30/1999 10,538.48 10,538.71
10/31/1999 10,569.69 10,577.58
11/30/1999 10,590.50 10,576.53
12/31/1999 10,542.19 10,525.53
1/31/2000 10,509.38 10,490.79
2/29/2000 10,629.68 10,617.73
3/31/2000 10,793.71 10,757.88
4/30/2000 10,739.03 10,726.69
5/31/2000 10,749.97 10,721.32
6/30/2000 10,946.82 10,944.33
7/31/2000 11,034.30 11,043.92
8/31/2000 11,209.28 11,204.06
9/30/2000 11,263.96 11,274.64
10/31/2000 11,362.38 11,349.06
11/30/2000 11,581.10 11,535.18
12/31/2000 11,780.85 11,749.73
1/31/2001 11,952.58 11,749.73
2/28/2001 12,067.07 11,749.73
3/31/2001 12,147.21 12,105.75
4/30/2001 12,044.17 12,105.75
5/31/2001 12,078.52 12,105.75
6/30/2001 12,124.31 12,173.54
7/31/2001 12,502.12 12,173.54
8/31/2001 12,650.96 12,173.54
9/30/2001 12,868.48 12,734.74
10/31/2001 13,143.26 12,734.74
11/30/2001 12,960.08 12,734.74
12/31/2001 12,902.91 12,741.11
1/31/2002 13,072.36 12,843.04
2/28/2002 13,253.92 12,967.62
3/31/2002 13,011.84 12,752.35
4/30/2002 13,253.92 12,999.75
5/31/2002 13,314.44 13,110.25
6/30/2002 13,290.24 13,224.31
7/31/2002 13,338.65 13,384.32
8/31/2002 13,604.94 13,610.52
9/30/2002 13,713.88 13,831.01
10/31/2002 13,713.88 13,767.38
11/30/2002 13,774.40 13,763.25
12/31/2002 14,044.21 14,048.15
1/31/2003 14,116.86 14,060.80
2/28/2003 14,334.78 14,254.84
3/31/2003 14,322.68 14,243.43
4/30/2003 14,492.17 14,361.65
5/31/2003 14,734.32 14,628.78
6/30/2003 14,722.21 14,599.52
7/31/2003 14,153.18 14,108.98
8/31/2003 14,274.25 14,202.10
9/30/2003 14,649.57 14,578.45
10/31/2003 14,540.60 14,442.87
11/30/2003 14,564.82 14,477.54
12/31/2003 14,715.77 14,625.21
1/31/2004 14,803.36 14,742.21
2/29/2004 14,953.52 14,901.42
3/31/2004 15,078.66 15,013.18
4/30/2004 14,715.77 14,622.84
5/31/2004 14,653.20 14,564.35
6/30/2004 14,728.28 14,646.67
7/31/2004 14,865.93 14,791.85
8/31/2004 15,153.74 15,074.00
9/30/2004 15,191.28 15,114.90
10/31/2004 15,341.44 15,241.86
11/30/2004 15,266.36 15,119.93
12/31/2004 15,370.41 15,259.03
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/PUTNAM EQUITY FUND
[INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC
U.S. CORE EQUITY TEAM
OBJECTIVE:
JNL/Putnam Equity Fund takes a bottom-up approach, seeking to identify the most
attractive investment opportunities based on valuation, while considering
overall portfolio construction.
MONEY MANAGER COMMENTARY:
During 2004, the Fund's Class A shares return of 13.04% outperformed the 10.88%
return of its benchmark, the S&P 500 Index. This relative outperformance was
fueled by solid stock selection within the financial, consumer cyclicals, and
consumer staples sectors, which contributed most to relative results. Positions
in the communications services and transportation sectors detracted modestly
from relative performance.
Within financials, our overweight in mortgage finance (Freddie Mac), selections
within insurance (AIG) and consumer finance (Capital One, Countrywide Financial)
were most beneficial. Homebuilders (NVR, Lennar) were the strongest contributors
within consumer cyclicals. Gaming & lottery (Harrah's Entertainment), leisure
time products (Harley-Davidson), and retailers (Staples, underweight Wal-Mart)
also aided relative performance in this sector.
The consumer staples and health-care sectors also contributed to outperformance,
particularly within the tobacco (Altria) and consumer goods (Avon) industries.
Selections within health-care services (Cigna, Wellpoint Health) and a large
overweight in pharmaceutical giant Johnson & Johnson also aided results.
Stock selection in telecommunications (Level 3 Communications) and cable TV
(Comcast) detracted most from relative returns in the communications services
sector. High oil prices constrained results in the transportation sector,
particularly in railroads (Union Pacific) and airlines (Southwest Airlines).
The Fund currently has significant exposure within the financial, healthcare,
consumer cyclicals, and technology sectors. Our least-favored sectors include
the communication services, utilities and conglomerates.
AVERAGE ANNUAL TOTAL RETURN
1 year 13.04%
5 year -7.62%
Since inception 9.08%
(Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by
Phoenix Investment Counsel, Inc.
date JNL/Putnam Equity Fund (Class A) S&P 500 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,030.00 10,130.00
6/30/1995 10,540.00 10,356.00
7/31/1995 11,490.00 10,694.00
8/31/1995 11,640.00 10,726.00
9/30/1995 12,080.00 11,179.00
10/31/1995 11,880.00 11,139.00
11/30/1995 12,560.00 11,627.00
12/31/1995 12,733.84 11,851.00
1/31/1996 13,284.61 12,254.00
2/29/1996 13,692.18 12,368.00
3/31/1996 13,769.29 12,487.00
4/30/1996 14,826.77 12,671.00
5/31/1996 15,344.49 12,996.00
6/30/1996 15,355.51 13,046.00
7/31/1996 14,463.26 12,469.00
8/31/1996 15,091.14 12,732.00
9/30/1996 15,520.74 13,448.00
10/31/1996 15,719.02 13,819.00
11/30/1996 16,578.22 14,862.00
12/31/1996 16,147.97 14,568.00
1/31/1997 17,307.08 15,477.04
2/28/1997 16,909.35 15,597.76
3/31/1997 15,886.61 14,958.26
4/30/1997 16,284.34 15,849.77
5/31/1997 16,784.35 16,813.43
6/30/1997 17,613.91 17,566.68
7/31/1997 19,125.29 18,963.23
8/31/1997 17,977.55 17,901.29
9/30/1997 19,057.11 18,882.28
10/31/1997 18,625.28 18,251.61
11/30/1997 19,466.21 19,096.66
12/31/1997 19,681.74 19,424.43
1/31/1998 19,878.68 19,639.25
2/28/1998 21,500.48 21,055.75
3/31/1998 22,890.60 22,133.99
4/30/1998 22,994.86 22,417.75
5/31/1998 22,485.15 21,996.30
6/30/1998 24,141.70 22,862.95
7/31/1998 23,875.26 22,620.12
8/31/1998 19,878.68 19,352.80
9/30/1998 21,245.62 20,592.62
10/31/1998 22,380.89 22,266.16
11/30/1998 23,875.26 23,615.11
12/31/1998 26,555.72 24,975.06
1/31/1999 27,786.01 26,019.44
2/28/1999 26,811.06 25,211.07
3/31/1999 27,960.11 26,219.74
4/30/1999 28,018.14 27,235.12
5/31/1999 26,857.49 26,591.99
6/30/1999 29,051.12 28,067.79
7/31/1999 28,215.45 27,191.38
8/31/1999 27,704.76 27,056.91
9/30/1999 27,588.70 26,315.12
10/31/1999 29,515.38 27,980.40
11/30/1999 30,710.85 28,549.21
12/31/1999 34,364.67 30,230.62
1/31/2000 32,311.24 28,711.77
2/29/2000 32,782.32 28,168.23
3/31/2000 35,463.86 30,923.95
4/30/2000 33,217.17 29,993.60
5/31/2000 31,840.16 29,378.20
6/30/2000 33,531.22 30,102.43
7/31/2000 33,011.83 29,631.78
8/31/2000 35,584.65 31,472.32
9/30/2000 33,084.30 29,810.74
10/31/2000 31,707.30 29,684.73
11/30/2000 27,805.79 27,344.42
12/31/2000 28,231.33 27,478.21
1/31/2001 27,763.07 28,453.11
2/28/2001 24,645.42 25,858.67
3/31/2001 22,525.91 24,220.50
4/30/2001 24,571.48 26,102.68
5/31/2001 24,583.81 26,277.59
6/30/2001 23,918.38 25,638.02
7/31/2001 23,018.82 25,385.59
8/31/2001 21,207.38 23,796.45
9/30/2001 19,235.75 21,874.84
10/31/2001 19,654.72 22,291.95
11/30/2001 21,219.71 24,001.92
12/31/2001 21,170.42 24,212.56
1/31/2002 20,504.99 23,873.58
2/28/2002 19,531.50 23,413.21
3/31/2002 20,381.76 24,293.75
4/30/2002 19,346.65 22,820.87
5/31/2002 19,198.78 22,652.75
6/30/2002 17,843.28 21,039.24
7/31/2002 16,438.50 19,399.04
8/31/2002 16,611.01 19,526.32
9/30/2002 14,935.12 17,404.18
10/31/2002 16,278.30 18,936.08
11/30/2002 16,968.37 20,050.62
12/31/2002 16,068.81 18,861.96
1/31/2003 15,563.58 18,367.83
2/28/2003 15,230.87 18,092.24
3/31/2003 15,366.42 18,267.91
4/30/2003 16,635.66 19,772.72
5/31/2003 17,547.54 20,814.48
6/30/2003 17,757.03 21,079.91
7/31/2003 18,003.48 21,451.63
8/31/2003 18,373.16 21,869.92
9/30/2003 18,311.55 21,637.81
10/31/2003 19,371.30 22,861.67
11/30/2003 19,469.88 23,062.80
12/31/2003 20,443.64 24,272.52
1/31/2004 20,888.60 24,718.01
2/29/2004 21,098.72 25,061.47
3/31/2004 20,863.88 24,683.39
4/30/2004 20,394.20 24,295.84
5/31/2004 20,802.08 24,629.28
6/30/2004 21,172.89 25,108.36
7/31/2004 20,320.04 24,276.12
8/31/2004 20,394.20 24,374.39
9/30/2004 20,690.84 24,638.25
10/31/2004 21,135.81 25,014.72
11/30/2004 22,099.89 26,026.74
12/31/2004 23,110.14 26,912.58
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/PUTNAM INTERNATIONAL EQUITY FUND
[INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC
CORE INTERNATIONAL EQUITY TEAM
OBJECTIVE:
JNL/Putnam International Equity Fund seeks as its investment objective long-term
growth of capital through investments primarily in common stocks of established,
non-U.S. companies.
MONEY MANAGER COMMENTARY:
The Fund's Class A shares posted double-digit gains of 16.34% in 2004, but
trailed benchmark, the MSCI E.A.FE. Index (up 20.25% in U.S. dollars) as
challenging market dynamics made the benchmark hard to beat. Overweighting Swiss
equities coupled with underweighting Australia hurt, as did stock selection in
South Korea and Europe. Favorable currency exposure helped performance.
For the second year, international equities posted phenomenal gains. After a
strong first quarter and a relatively flat summer, markets soared in the fourth
quarter.
Similar to the prior year, 2004 was a challenging period for valuation-oriented
investment processes such as ours, favoring companies with strong upside
potential, especially in terms of future growth. The extended period of low
interest rates provided greater levels of liquidity, enabling the stocks of
distressed companies to prosper. During this period, there was less distinction
between companies benefiting from low interest rates and those continually
generating better growth and returns. Our large-cap bias also hurt, as excess
market liquidity extended the international small-cap rally.
During of the latter half of 2004, as global interest rates rose and growth
slowed, the markets began transitioning to an environment where investment
approaches such as ours should thrive. We expect rates will continue rising and
your Fund should benefit.
We continue to focus on high-quality, industry-leading companies. Our recent
efforts to increase our regional focus over the past several months have only
just begun to reward our investors. The focus has helped unearth compelling
stock ideas and allowed us to narrow the portfolio's underweight to the banking
sector.
We continue to favor emerging markets focusing on South Korea, Brazil, and
Taiwan. Among developed markets, we are underweight Europe where we are
underweight the United Kingdom and overweight Switzerland. Further, we are
underweight developed Asia, notably Australia.
Among sectors, we are overweight telecoms and transportation, and underweight
financials, utilities, and technology.
AVERAGE ANNUAL TOTAL RETURN
1 year 16.34%
5 year -4.02%
Since inception 4.60%
(Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by
Rowe-Price Fleming International, Inc.
JNL/Putnam
date International Equity Fund (Class A) MSCI E.A.FE. Index
5/15/1995 10,000.00 10,000.00
5/31/1995 9,990.00 9,999.00
6/30/1995 9,950.00 9,810.00
7/31/1995 10,530.00 10,407.00
8/31/1995 10,250.00 9,997.00
9/30/1995 10,430.00 10,178.00
10/31/1995 10,240.00 9,981.00
11/30/1995 10,360.00 10,153.00
12/31/1995 10,720.00 10,548.00
1/31/1996 10,970.00 10,578.00
2/29/1996 11,050.00 10,600.00
3/31/1996 11,250.00 10,811.00
4/30/1996 11,570.00 11,112.00
5/31/1996 11,500.00 10,893.00
6/30/1996 11,630.00 10,940.00
7/31/1996 11,280.00 10,606.00
8/31/1996 11,440.00 10,614.00
9/30/1996 11,710.00 10,882.00
10/31/1996 11,640.00 10,756.00
11/30/1996 12,220.00 11,169.00
12/31/1996 12,210.72 11,010.00
1/31/1997 12,069.20 10,627.18
2/28/1997 12,220.83 10,803.59
3/31/1997 12,190.50 10,845.40
4/30/1997 12,311.80 10,905.60
5/31/1997 13,069.92 11,617.95
6/30/1997 13,625.87 12,261.23
7/31/1997 14,009.98 12,462.07
8/31/1997 12,706.02 11,533.90
9/30/1997 13,565.22 12,182.56
10/31/1997 12,513.96 11,248.77
11/30/1997 12,473.53 11,136.73
12/31/1997 12,534.44 11,236.41
1/31/1998 12,959.51 11,735.76
2/28/1998 13,737.08 12,473.76
3/31/1998 14,213.99 12,842.69
4/30/1998 14,328.04 12,928.74
5/31/1998 14,234.73 12,851.17
6/30/1998 14,224.36 12,933.41
7/31/1998 14,431.71 13,049.30
8/31/1998 12,596.65 11,417.20
9/30/1998 12,306.35 11,051.43
10/31/1998 13,436.42 12,187.59
11/30/1998 13,892.60 12,796.44
12/31/1998 14,343.24 13,285.47
1/31/1999 14,185.27 13,230.64
2/28/1999 13,911.46 12,899.64
3/31/1999 14,501.20 13,422.29
4/30/1999 15,048.81 13,950.35
5/31/1999 14,353.77 13,216.29
6/30/1999 14,869.79 13,715.87
7/31/1999 15,122.53 14,107.41
8/31/1999 15,312.09 14,142.76
9/30/1999 15,375.27 14,269.00
10/31/1999 15,849.17 14,787.43
11/30/1999 16,881.21 15,285.55
12/31/1999 18,948.66 16,648.71
1/31/2000 17,842.66 15,579.10
2/29/2000 18,779.37 15,947.59
3/31/2000 18,993.80 16,630.96
4/30/2000 17,944.23 15,761.95
5/31/2000 17,030.09 15,394.79
6/30/2000 18,102.23 16,001.10
7/31/2000 17,504.09 15,323.71
8/31/2000 17,842.66 15,461.65
9/30/2000 16,702.81 14,707.35
10/31/2000 16,115.95 14,350.74
11/30/2000 15,483.95 13,806.12
12/31/2000 16,298.55 14,289.71
1/31/2001 15,965.39 14,282.33
2/28/2001 15,045.84 13,211.61
3/31/2001 13,979.71 12,330.92
4/30/2001 14,872.60 13,187.81
5/31/2001 14,499.45 12,722.36
6/30/2001 14,059.67 12,202.08
7/31/2001 13,713.17 11,980.07
8/31/2001 13,380.01 11,676.47
9/30/2001 12,073.99 10,493.79
10/31/2001 12,287.22 10,762.56
11/30/2001 12,753.65 11,159.30
12/31/2001 12,992.22 11,225.60
1/31/2002 12,360.09 10,629.13
2/28/2002 12,481.14 10,703.68
3/31/2002 13,140.16 11,282.66
4/30/2002 13,005.67 11,357.43
5/31/2002 13,032.57 11,501.34
6/30/2002 12,440.79 11,043.52
7/31/2002 11,001.69 9,953.30
8/31/2002 10,867.20 9,930.71
9/30/2002 9,629.84 8,864.21
10/31/2002 10,248.52 9,340.62
11/30/2002 10,705.80 9,764.54
12/31/2002 10,318.32 9,436.21
1/31/2003 9,815.32 9,042.27
2/28/2003 9,584.21 8,834.75
3/31/2003 9,421.07 8,661.16
4/30/2003 10,331.91 9,510.06
5/31/2003 10,862.10 10,086.30
6/30/2003 10,957.26 10,330.05
7/31/2003 11,120.40 10,580.10
8/31/2003 11,365.10 10,835.60
9/30/2003 11,582.62 11,169.61
10/31/2003 12,140.00 11,865.80
11/30/2003 12,398.29 12,129.60
12/31/2003 13,261.80 13,077.23
1/31/2004 13,496.40 13,262.15
2/29/2004 13,758.60 13,568.30
3/31/2004 13,689.60 13,644.65
4/30/2004 13,248.00 13,335.99
5/31/2004 13,275.60 13,364.20
6/30/2004 13,427.40 13,674.02
7/31/2004 13,013.40 13,230.24
8/31/2004 13,110.00 13,288.67
9/30/2004 13,413.60 13,635.98
10/31/2004 13,813.80 14,100.97
11/30/2004 14,710.80 15,064.25
12/31/2004 15,428.36 15,725.01
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/PUTNAM MIDCAP GROWTH FUND
[INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC
MIDCAP EQUITY GROWTH TEAM
OBJECTIVE:
JNL/Putnam Midcap Growth Fund seeks as its investment objective capital
appreciation. The Fund invests mainly in common stocks of U.S. companies with a
focus on growth stocks whose earnings the sub-adviser believes are likely to
grow faster than the economy as a whole.
MONEY MANAGER COMMENTARY:
The Fund's Class A shares return of 18.62% significantly outperformed the 16.49%
return of its benchmark, the S&P MidCap 400 Index for the year due to strong
stock selection in capital goods, consumer staples, and technology. Relative
weakness in the communications services and utilities sectors was a slight drag
on performance.
An overweight to machinery (Toro, Terex, Briggs & Stratton) made the capital
goods sector the Fund's largest relative contributor. Adept stock selection in
services-staples (Alliance Data, Getty Images) and restaurants (Starbucks)
helped relative performance in the consumer staples sector. Stock selection in
technology also proved beneficial, especially software (Symantec, Adobe Systems)
and semiconductor production equipment (underweight KLA-Tencor, Novellus
Systems, Teradyne; overweight Sigmatel).
The Fund experienced some relative weakness in communications services and
utilities. In communications services, not having a position in Sprint PCS
(telecommunications) hurt relative performance. Within utilities, not having any
exposure to independent power producers also detracted.
Despite the rally of 2004's closing months, our market strategists anticipate
modest, single-digit gains in average markets over the next several years. In
this environment, stocks with reasonable valuations, understandable business
models, organizational transparency, cash operating earnings, and the ability to
pay dividends, should find favor. Our forecasting models also see a number of
vulnerabilities for stocks, including high relative valuation, a low market
volatility (signaling investor complacency), and continued Fed tightening.
Technology is the Fund's largest overweight along with overweights to capital
goods and financials. The Fund's largest underweight is the consumer cyclicals
sector. The portfolio has no representation in the communications services or
utilities sectors, as attractive growth opportunities in these sectors are
scarce.
AVERAGE ANNUAL TOTAL RETURN
1 year 18.62%
Since inception -4.43%
(Inception date May 1, 2000).
date JNL/Putnam Mid-Cap Growth Fund (Class A) S&P Midcap 400 Index
5/1/2000 10,000.00 10,000.00
5/31/2000 9,410.00 9,742.07
6/30/2000 10,150.00 9,885.13
7/31/2000 9,810.00 10,041.32
8/31/2000 10,840.00 11,162.45
9/30/2000 10,790.00 11,086.02
10/31/2000 10,320.00 10,710.12
11/30/2000 8,960.00 9,901.67
12/31/2000 9,900.00 10,659.20
1/31/2001 9,950.00 10,897.04
2/28/2001 7,620.00 10,275.16
3/31/2001 8,810.00 9,511.26
4/30/2001 8,710.00 10,560.49
5/31/2001 8,540.00 10,806.43
6/30/2001 7,760.00 10,762.77
7/31/2001 7,130.00 10,602.44
8/31/2001 5,790.00 10,255.65
9/30/2001 6,310.00 8,979.97
10/31/2001 6,980.00 9,377.48
11/30/2001 7,260.00 10,075.23
12/31/2001 7,230.00 10,595.09
1/31/2002 7,010.00 10,536.82
2/28/2002 6,610.00 10,549.76
3/31/2002 7,060.00 11,303.93
4/30/2002 6,780.00 11,251.07
5/31/2002 6,570.00 11,061.32
6/30/2002 5,850.00 10,251.69
7/31/2002 5,340.00 9,258.47
8/31/2002 5,270.00 9,305.16
9/30/2002 4,830.00 8,555.53
10/31/2002 5,210.00 8,926.17
11/30/2002 5,500.00 9,442.46
12/31/2002 5,110.00 9,059.14
1/31/2003 5,080.00 8,794.43
2/28/2003 4,980.00 8,584.96
3/31/2003 5,050.00 8,657.37
4/30/2003 5,370.00 9,285.75
5/31/2003 5,820.00 10,055.43
6/30/2003 5,890.00 10,183.44
7/31/2003 6,080.00 10,544.95
8/31/2003 6,400.00 11,023.09
9/30/2003 6,240.00 10,854.35
10/31/2003 6,730.00 11,675.18
11/30/2003 6,860.00 12,082.00
12/31/2003 6,820.00 12,285.86
1/31/2004 7,040.00 12,552.00
2/29/2004 7,170.00 12,853.56
3/31/2004 7,170.00 12,908.01
4/30/2004 6,970.00 12,484.34
5/31/2004 7,160.00 12,743.35
6/30/2004 7,330.00 13,033.34
7/31/2004 6,850.00 12,425.32
8/31/2004 6,750.00 12,392.85
9/30/2004 7,120.00 12,759.94
10/31/2004 7,310.00 12,963.94
11/30/2004 7,770.00 13,735.98
12/31/2004 8,090.00 14,311.31
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/PUTNAM VALUE EQUITY FUND
[INSERT LOGO] PUTNAM INVESTMENT MANAGEMENT, LLC
LARGE CAP VALUE TEAM
OBJECTIVE:
JNL/Putnam Value Equity Fund seeks as its investment objective capital growth,
with income as a secondary objective, by investing primarily in common stocks
which the sub-adviser believes to be undervalued relative to underlying assets
value or earnings potential at the time of purchase.
MONEY MANAGER COMMENTARY:
The Fund's Class A shares generated strong absolute returns of 9.76% during the
period, but slightly underperformed its benchmark, the S&P 500 Index which
returned 10.88%. Favorable stock selection in consumer cyclicals and technology
was offset by unrewarded stock selection in the health care and communications
services sectors.
In technology, underweighting Cisco helped as the telecommunications equipment
maker reported that inventories rose, squeezing margins. The fund was also
rewarded by underweighting Intel as the semiconductor maker faced weakening
demand.
Stock selection in the consumer cyclicals sector also proved favorable, as
portfolio overweight Masco (home building products) moved higher on continuing
benefits from aggressive cost cutting and strong sales in select product lines.
The stock price of portfolio overweight J.C. Penney increased amid improved
gross margin trends and strong catalog and Internet sales.
Within health care, overweighting Pfizer hurt relative results as shares of the
drugmaker slid late in the period after data showed Pfizer's painkiller,
Celebrex raised the risk of heart attacks. An overweight to King Pharmaceuticals
also detracted.
Lack of exposure to CenturyTel within communications services detracted as the
local exchange telephone company achieved strong revenue growth. Not owning AT&T
Wireless also detracted after its shares rose sharply following its announced
merger with Cingular Wireless.
The financial sector remains the Fund's largest absolute and relative
overweight, with broad investments over a large number of industries including
brokerage and investment banking, credit cards, diversified financial services,
government sponsored agencies, insurance, and regional and national banking.
We maintain a large underweight to the consumer cyclicals sector (primarily from
underweights to the commercial & consumer services, automotive and publishing
industries) and remain cautious on technology.
AVERAGE ANNUAL TOTAL RETURN
1 year 9.76%
5 year 1.88%
Since inception 8.87%
(Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed
by PPM America, Inc.
date JNL/Putnam Value Equity Fund (Class A) S&P 500 Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,210.00 10,130.00
6/30/1995 10,340.00 10,356.00
7/31/1995 10,720.00 10,694.00
8/31/1995 10,850.00 10,726.00
9/30/1995 11,380.00 11,179.00
10/31/1995 11,350.00 11,139.00
11/30/1995 11,980.00 11,627.00
12/31/1995 12,261.70 11,851.00
1/31/1996 12,734.09 12,254.00
2/29/1996 12,888.13 12,368.00
3/31/1996 13,114.06 12,487.00
4/30/1996 13,309.18 12,671.00
5/31/1996 13,668.61 12,996.00
6/30/1996 13,617.26 13,046.00
7/31/1996 13,052.45 12,469.00
8/31/1996 13,452.95 12,732.00
9/30/1996 13,904.81 13,448.00
10/31/1996 14,253.97 13,819.00
11/30/1996 15,342.53 14,862.00
12/31/1996 15,244.39 14,568.00
1/31/1997 15,738.51 15,477.04
2/28/1997 16,295.72 15,597.76
3/31/1997 15,580.81 14,958.26
4/30/1997 16,095.97 15,849.77
5/31/1997 16,758.31 16,813.43
6/30/1997 17,357.57 17,566.68
7/31/1997 18,493.02 18,963.23
8/31/1997 17,715.03 17,901.29
9/30/1997 18,619.18 18,882.28
10/31/1997 17,778.11 18,251.61
11/30/1997 18,377.37 19,096.66
12/31/1997 18,570.63 19,424.43
1/31/1998 18,647.91 19,639.25
2/28/1998 19,718.87 21,055.75
3/31/1998 20,602.13 22,133.99
4/30/1998 20,646.30 22,417.75
5/31/1998 20,116.34 21,996.30
6/30/1998 20,127.38 22,862.95
7/31/1998 19,796.15 22,620.12
8/31/1998 16,991.79 19,352.80
9/30/1998 17,908.18 20,592.62
10/31/1998 19,354.52 22,266.16
11/30/1998 20,403.40 23,615.11
12/31/1998 20,888.30 24,975.06
1/31/1999 21,254.76 26,019.44
2/28/1999 20,888.30 25,211.07
3/31/1999 21,655.58 26,219.74
4/30/1999 22,972.55 27,235.12
5/31/1999 22,743.51 26,591.99
6/30/1999 23,144.33 28,067.79
7/31/1999 22,239.63 27,191.38
8/31/1999 21,506.71 27,056.91
9/30/1999 20,430.23 26,315.12
10/31/1999 21,460.90 27,980.40
11/30/1999 21,048.63 28,549.21
12/31/1999 20,671.20 30,230.62
1/31/2000 19,919.74 28,711.77
2/29/2000 18,367.55 28,168.23
3/31/2000 20,153.80 30,923.95
4/30/2000 20,190.76 29,993.60
5/31/2000 20,511.05 29,378.20
6/30/2000 20,338.59 30,102.43
7/31/2000 20,042.93 29,631.78
8/31/2000 21,422.65 31,472.32
9/30/2000 21,237.87 29,810.74
10/31/2000 21,903.09 29,684.73
11/30/2000 21,237.87 27,344.42
12/31/2000 22,109.91 27,478.21
1/31/2001 22,383.49 28,453.11
2/28/2001 21,749.29 25,858.67
3/31/2001 20,804.21 24,220.50
4/30/2001 21,960.69 26,102.68
5/31/2001 22,420.79 26,277.59
6/30/2001 21,873.64 25,638.02
7/31/2001 21,649.81 25,385.59
8/31/2001 20,742.03 23,796.45
9/30/2001 19,162.75 21,874.84
10/31/2001 19,249.80 22,291.95
11/30/2001 20,443.58 24,001.92
12/31/2001 20,712.40 24,212.56
1/31/2002 20,360.92 23,873.58
2/28/2002 20,109.86 23,413.21
3/31/2002 20,976.01 24,293.75
4/30/2002 19,846.25 22,820.87
5/31/2002 19,959.22 22,652.75
6/30/2002 18,365.00 21,039.24
7/31/2002 16,896.30 19,399.04
8/31/2002 17,059.49 19,526.32
9/30/2002 15,176.54 17,404.18
10/31/2002 16,406.73 18,936.08
11/30/2002 17,486.29 20,050.62
12/31/2002 16,597.82 18,861.96
1/31/2003 16,140.30 18,367.83
2/28/2003 15,733.62 18,092.24
3/31/2003 15,657.36 18,267.91
4/30/2003 16,915.55 19,772.72
5/31/2003 18,008.51 20,814.48
6/30/2003 18,377.07 21,079.91
7/31/2003 18,478.74 21,451.63
8/31/2003 18,720.21 21,869.92
9/30/2003 18,491.45 21,637.81
10/31/2003 19,381.07 22,861.67
11/30/2003 19,559.00 23,062.80
12/31/2003 20,673.16 24,272.52
1/31/2004 21,007.22 24,718.01
2/29/2004 21,354.12 25,061.47
3/31/2004 21,110.00 24,683.39
4/30/2004 20,698.85 24,295.84
5/31/2004 20,801.64 24,629.28
6/30/2004 21,277.03 25,108.36
7/31/2004 20,660.31 24,276.12
8/31/2004 20,853.03 24,374.39
9/30/2004 20,840.19 24,638.25
10/31/2004 21,161.40 25,014.72
11/30/2004 22,022.24 26,026.74
12/31/2004 22,690.30 26,912.58
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/S&P FUNDS
[INSERT LOGO] STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, PETER K. TSUI, JOSH HARARI
MONEY MANAGER COMMENTARY:
JNL/S&P Managed Aggressive Growth Fund
JNL/S&P Managed Conservative Fund
JNL/S&P Managed Growth Fund
JNL/S&P Managed Moderate Fund
JNL/S&P Managed Moderate Growth Fund
The US equity market as measured by the S&P 500 Index rose 8.7% in the fourth
quarter of 2004, and 10.88% for the year as a whole. Investors spent much of
2004 worrying about uncertainties. While there was little reaction to a series
of Federal Reserve moves to raise interest rates, there were concerns about the
outcome of Presidential elections in the United States and the potential for
terrorist acts during the summer Olympics or at the U.S. political party
conventions. As these worries faded one by one, investors refocused on growing
corporate earnings and in the post-election period a strong year-end rally
ensued carrying the U.S. equity markets to a three-year high.
The Fed's assessment of the economy suggests that interest rates will continue
to rise. We expect the Federal Reserve Board to implement slow and steady
increases in the Fed Funds rate throughout 2005. The Fed's goal is to maintain
low inflation. The sharp rise in oil and other commodity prices in the past two
years, along with the sharp decline in the U.S. dollar, large U.S. government
budget deficits and the widening of the perennial trade deficit, causes the Fed
to worry about the potential for rapid increases in consumer prices and a return
to the high inflation days of the 1970s and 1980s.
Thus far, consumer price inflation has remained surprisingly low and consistent
with the Fed's 2% inflation target. This may be due to the growing dominance of
China as a major trading partner of the United States. China maintains a fixed
currency policy that keeps the U.S. dollar in a tight trading range against the
Chinese reminbi. Competitive market pressures have also served as a constraint
on prices as manufacturers strive to maintain their market shares in the face of
stiff foreign competition. Weak domestic demand in other industrialized
countries makes the easily accessed U.S. markets an attractive destination for
foreign products. Manufacturers here and abroad are displaying a propensity to
cut margins rather than raise prices and risk surrendering market share.
The dollar ended 2004 near its record low against the euro and at its lowest
level since early 2000 against the yen. The decline is not over. We expect the
dollar to drop in 2005 to about $1.45 per euro. Even that decline will only stop
the widening of the trade gap, not narrow it.
Global economic growth is expected to slow in 2005. We expect 3.6% growth in the
United States, 1.8% in Japan, and 1.9% in the Eurozone. After peaking at about
$53 a barrel, oil prices declined to the mid-$40s by year-end 2004. We expect a
further decline to $40 in 2005 and $35 in 2006, but our confidence in that
forecast is not high, as oil prices have become highly sensitive to global
political events, particularly those in the Middle East and in the Persian Gulf.
In addition, the steady industrialization of nations such as China is increasing
the base demand for oil and other commodities. China already consumes 19 million
barrels a day of oil, which puts it second only to the United States in oil
consumption. With a population more than four times that of the U.S. and
continuing economic development, demand from China should continue to climb.
The JNL/S&P Funds remain positioned to participate in further stock market
advances, but our outlook for fixed income markets remains cautious. Standard &
Poor's expects the U.S. economy to continue its expansion in 2005. We expect a
10% advance in the S&P 500 Index as market multiples remain constant and
corporate earnings advance about 10%. We expect the yield curve to shift higher,
with short-term rates rising faster than long-term bond yields in 2005.
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN
1 year 12.61%
5 year -1.11%
Since inception 5.04%
(Inception date April 8, 1998).
date JNL/S&P Managed Aggressive Growth Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index
4/8/1998 10,000.00 10,000.00 10,000.00
4/30/1998 10,020.00 10,096.95 10,050.99
5/31/1998 9,830.00 9,923.39 10,147.49
6/30/1998 10,230.00 10,326.45 10,231.80
7/31/1998 10,080.00 10,216.50 10,253.34
8/31/1998 8,520.00 8,739.41 10,415.06
9/30/1998 8,960.00 9,299.29 10,664.62
10/31/1998 9,420.00 10,055.71 10,665.13
11/30/1998 9,960.00 10,665.17 10,668.77
12/31/1998 10,880.00 11,279.76 10,700.87
1/31/1999 11,470.00 11,751.44 10,777.31
2/28/1999 11,020.00 11,386.35 10,589.14
3/31/1999 11,630.00 11,841.90 10,647.89
4/30/1999 11,990.00 12,300.49 10,681.64
5/31/1999 11,750.00 12,010.03 10,588.04
6/30/1999 12,470.00 12,676.56 10,554.22
7/31/1999 12,150.00 12,280.74 10,509.38
8/31/1999 12,010.00 12,220.01 10,504.05
9/30/1999 11,990.00 11,884.99 10,625.93
10/31/1999 12,650.00 12,637.09 10,665.13
11/30/1999 13,390.00 12,893.99 10,664.07
12/31/1999 14,729.10 13,653.38 10,612.65
1/31/2000 14,318.01 12,967.41 10,577.62
2/29/2000 15,220.41 12,721.92 10,705.61
3/31/2000 15,822.01 13,966.52 10,846.93
4/30/2000 14,949.69 13,546.34 10,815.47
5/31/2000 14,348.09 13,268.39 10,810.06
6/30/2000 14,889.53 13,595.49 11,034.91
7/31/2000 14,668.95 13,382.92 11,135.33
8/31/2000 15,681.63 14,214.19 11,296.79
9/30/2000 14,879.50 13,463.75 11,367.96
10/31/2000 14,458.39 13,406.84 11,442.99
11/30/2000 13,074.71 12,349.86 11,630.66
12/31/2000 13,348.41 12,410.28 11,846.99
1/31/2001 13,784.36 12,850.59 11,846.99
2/28/2001 12,663.34 11,678.83 11,846.99
3/31/2001 11,812.20 10,938.97 12,205.95
4/30/2001 12,777.52 11,789.04 12,205.95
5/31/2001 12,870.94 11,868.03 12,205.95
6/30/2001 12,559.55 11,579.18 12,274.30
7/31/2001 12,331.19 11,465.17 12,274.30
8/31/2001 11,718.78 10,747.45 12,274.30
9/30/2001 10,649.66 9,879.57 12,840.15
10/31/2001 10,971.44 10,067.96 12,840.15
11/30/2001 11,729.16 10,840.25 12,840.15
12/31/2001 11,936.09 10,935.38 12,846.57
1/31/2002 11,753.34 10,782.29 12,949.34
2/28/2002 11,604.85 10,574.36 13,074.95
3/31/2002 12,107.43 10,972.05 12,857.91
4/30/2002 11,684.81 10,306.84 13,107.35
5/31/2002 11,547.74 10,230.91 13,218.76
6/30/2002 10,771.04 9,502.18 13,333.76
7/31/2002 9,868.69 8,761.40 13,495.10
8/31/2002 9,994.34 8,818.88 13,723.17
9/30/2002 9,194.79 7,860.44 13,945.49
10/31/2002 9,685.94 8,552.31 13,881.34
11/30/2002 10,199.94 9,055.68 13,877.17
12/31/2002 9,756.84 8,518.83 14,164.43
1/31/2003 9,560.32 8,295.66 14,177.18
2/28/2003 9,398.48 8,171.19 14,372.82
3/31/2003 9,479.40 8,250.54 14,361.32
4/30/2003 10,138.33 8,930.17 14,480.52
5/31/2003 10,681.66 9,400.67 14,749.86
6/30/2003 10,831.94 9,520.55 14,720.36
7/31/2003 11,016.91 9,688.43 14,225.76
8/31/2003 11,271.23 9,877.35 14,319.65
9/30/2003 11,167.19 9,772.52 14,699.12
10/31/2003 11,722.08 10,325.26 14,562.42
11/30/2003 11,872.37 10,416.10 14,597.37
12/31/2003 12,371.85 10,962.46 14,746.26
1/31/2004 12,617.65 11,163.67 14,864.23
2/29/2004 12,758.10 11,318.78 15,024.76
3/31/2004 12,699.58 11,148.03 15,137.45
4/30/2004 12,430.37 10,972.99 14,743.87
5/31/2004 12,582.53 11,123.59 14,684.90
6/30/2004 12,828.33 11,339.96 14,767.90
7/31/2004 12,325.03 10,964.09 14,914.28
8/31/2004 12,313.32 11,008.47 15,198.77
9/30/2004 12,582.53 11,127.64 15,240.00
10/31/2004 12,816.62 11,297.67 15,368.02
11/30/2004 13,460.38 11,754.74 15,245.07
12/31/2004 13,931.44 12,154.82 15,385.33
JNL/S&P MANAGED CONSERVATIVE FUND
AVERAGE ANNUAL TOTAL RETURN
Since inception 3.50%
(Inception date October 4, 2004).
date JNL/S&P Managed Conservative Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index
10/4/2004 10,000.00 10,000.00 10,000.00
10/31/2004 10,050.00 9,967.46 10,084.00
11/30/2004 10,190.00 10,370.71 10,003.33
12/31/2004 10,350.00 10,723.69 10,095.36
JNL/S&P MANAGED GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN
1 year 11.41%
5 year 1.04%
Since inception 5.33%
(Inception date April 13, 1998).
date JNL/S&P Managed Growth Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index
4/8/1998 10,000.00 10,000.00 10,000.00
4/30/1998 10,010.00 10,096.95 10,050.99
5/31/1998 9,860.00 9,923.39 10,147.49
6/30/1998 10,140.00 10,326.45 10,231.80
7/31/1998 10,000.00 10,216.50 10,253.34
8/31/1998 8,720.00 8,739.41 10,415.06
9/30/1998 9,090.00 9,299.29 10,664.62
10/31/1998 9,480.00 10,055.71 10,665.13
11/30/1998 9,970.00 10,665.17 10,668.77
12/31/1998 10,630.00 11,279.76 10,700.87
1/31/1999 11,050.00 11,751.44 10,777.31
2/28/1999 10,740.00 11,386.35 10,589.14
3/31/1999 11,240.00 11,841.90 10,647.89
4/30/1999 11,590.00 12,300.49 10,681.64
5/31/1999 11,330.00 12,010.03 10,588.04
6/30/1999 11,850.00 12,676.56 10,554.22
7/31/1999 11,610.00 12,280.74 10,509.38
8/31/1999 11,490.00 12,220.01 10,504.05
9/30/1999 11,430.00 11,884.99 10,625.93
10/31/1999 11,980.00 12,637.09 10,665.13
11/30/1999 12,510.00 12,893.99 10,664.07
12/31/1999 13,472.67 13,653.38 10,612.65
1/31/2000 13,141.38 12,967.41 10,577.62
2/29/2000 13,663.42 12,721.92 10,705.61
3/31/2000 14,326.01 13,966.52 10,846.93
4/30/2000 13,783.89 13,546.34 10,815.47
5/31/2000 13,362.24 13,268.39 10,810.06
6/30/2000 13,743.73 13,595.49 11,034.91
7/31/2000 13,593.14 13,382.92 11,135.33
8/31/2000 14,386.25 14,214.19 11,296.79
9/30/2000 13,824.05 13,463.75 11,367.96
10/31/2000 13,573.07 13,406.84 11,442.99
11/30/2000 12,609.30 12,349.86 11,630.66
12/31/2000 12,887.20 12,410.28 11,846.99
1/31/2001 13,210.16 12,850.59 11,846.99
2/28/2001 12,355.88 11,678.83 11,846.99
3/31/2001 11,709.96 10,938.97 12,205.95
4/30/2001 12,460.06 11,789.04 12,205.95
5/31/2001 12,532.99 11,868.03 12,205.95
6/30/2001 12,293.37 11,579.18 12,274.30
7/31/2001 12,168.35 11,465.17 12,274.30
8/31/2001 11,709.96 10,747.45 12,274.30
9/30/2001 10,907.76 9,879.57 12,840.15
10/31/2001 11,199.47 10,067.96 12,840.15
11/30/2001 11,782.88 10,840.25 12,840.15
12/31/2001 11,941.78 10,935.38 12,846.57
1/31/2002 11,819.01 10,782.29 12,949.34
2/28/2002 11,752.05 10,574.36 13,074.95
3/31/2002 12,120.35 10,972.05 12,857.91
4/30/2002 11,819.01 10,306.84 13,107.35
5/31/2002 11,752.05 10,230.91 13,218.76
6/30/2002 11,149.38 9,502.18 13,333.76
7/31/2002 10,435.10 8,761.40 13,495.10
8/31/2002 10,569.03 8,818.88 13,723.17
9/30/2002 9,910.56 7,860.44 13,945.49
10/31/2002 10,334.66 8,552.31 13,881.34
11/30/2002 10,803.40 9,055.68 13,877.17
12/31/2002 10,461.11 8,518.83 14,164.43
1/31/2003 10,302.78 8,295.66 14,177.18
2/28/2003 10,178.38 8,171.19 14,372.82
3/31/2003 10,223.62 8,250.54 14,361.32
4/30/2003 10,823.01 8,930.17 14,480.52
5/31/2003 11,309.31 9,400.67 14,749.86
6/30/2003 11,422.40 9,520.55 14,720.36
7/31/2003 11,490.26 9,688.43 14,225.76
8/31/2003 11,716.45 9,877.35 14,319.65
9/30/2003 11,693.83 9,772.52 14,699.12
10/31/2003 12,134.89 10,325.26 14,562.42
11/30/2003 12,270.60 10,416.10 14,597.37
12/31/2003 12,734.46 10,962.46 14,746.26
1/31/2004 12,941.53 11,163.67 14,864.23
2/29/2004 13,079.57 11,318.78 15,024.76
3/31/2004 13,045.06 11,148.03 15,137.45
4/30/2004 12,768.97 10,972.99 14,743.87
5/31/2004 12,895.51 11,123.59 14,684.90
6/30/2004 13,114.08 11,339.96 14,767.90
7/31/2004 12,699.95 10,964.09 14,914.28
8/31/2004 12,722.96 11,008.47 15,198.77
9/30/2004 12,953.03 11,127.64 15,240.00
10/31/2004 13,171.60 11,297.67 15,368.02
11/30/2004 13,723.77 11,754.74 15,245.07
12/31/2004 14,187.46 12,154.82 15,385.33
JNL/S&P MANAGED MODERATE FUND
AVERAGE ANNUAL TOTAL RETURN
Since inception 5.40%
(Inception date October 4, 2004).
date JNL/S&P Managed Moderate Growth Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index
4/9/1998 10,000.00 10,000.00 10,000.00
4/30/1998 9,970.00 10,014.80 10,050.99
5/31/1998 9,850.00 9,842.66 10,147.49
6/30/1998 10,050.00 10,242.43 10,231.80
7/31/1998 9,950.00 10,133.37 10,253.34
8/31/1998 8,920.00 8,668.30 10,415.06
9/30/1998 9,250.00 9,223.63 10,664.62
10/31/1998 9,570.00 9,973.89 10,665.13
11/30/1998 9,980.00 10,578.39 10,668.77
12/31/1998 10,470.00 11,187.98 10,700.87
1/31/1999 10,770.00 11,655.83 10,777.31
2/28/1999 10,520.00 11,293.71 10,589.14
3/31/1999 10,910.00 11,745.56 10,647.89
4/30/1999 11,200.00 12,200.42 10,681.64
5/31/1999 10,970.00 11,912.32 10,588.04
6/30/1999 11,360.00 12,573.42 10,554.22
7/31/1999 11,160.00 12,180.82 10,509.38
8/31/1999 11,070.00 12,120.59 10,504.05
9/30/1999 11,020.00 11,788.29 10,625.93
10/31/1999 11,450.00 12,534.27 10,665.13
11/30/1999 11,850.00 12,789.08 10,664.07
12/31/1999 12,513.52 13,542.30 10,612.65
1/31/2000 12,252.19 12,861.90 10,577.62
2/29/2000 12,634.13 12,618.42 10,705.61
3/31/2000 13,156.79 13,852.89 10,846.93
4/30/2000 12,784.90 13,436.12 10,815.47
5/31/2000 12,483.37 13,160.44 10,810.06
6/30/2000 12,805.00 13,484.87 11,034.91
7/31/2000 12,704.49 13,274.04 11,135.33
8/31/2000 13,297.50 14,098.54 11,296.79
9/30/2000 12,885.41 13,354.21 11,367.96
10/31/2000 12,714.54 13,297.76 11,442.99
11/30/2000 12,081.33 12,249.38 11,630.66
12/31/2000 12,319.88 12,309.31 11,846.99
1/31/2001 12,590.65 12,746.04 11,846.99
2/28/2001 11,976.22 11,583.81 11,846.99
3/31/2001 11,507.58 10,849.97 12,205.95
4/30/2001 12,049.11 11,693.12 12,205.95
5/31/2001 12,122.01 11,771.47 12,205.95
6/30/2001 11,924.14 11,484.97 12,274.30
7/31/2001 11,882.49 11,371.89 12,274.30
8/31/2001 11,559.65 10,660.01 12,274.30
9/30/2001 10,966.05 9,799.19 12,840.15
10/31/2001 11,215.99 9,986.04 12,840.15
11/30/2001 11,642.96 10,752.05 12,840.15
12/31/2001 11,730.39 10,846.41 12,846.57
1/31/2002 11,630.22 10,694.56 12,949.34
2/28/2002 11,596.83 10,488.33 13,074.95
3/31/2002 11,830.55 10,882.78 12,857.91
4/30/2002 11,585.71 10,222.98 13,107.35
5/31/2002 11,574.58 10,147.67 13,218.76
6/30/2002 11,084.88 9,424.87 13,333.76
7/31/2002 10,584.06 8,690.12 13,495.10
8/31/2002 10,739.87 8,747.13 13,723.17
9/30/2002 10,216.79 7,796.49 13,945.49
10/31/2002 10,584.06 8,482.72 13,881.34
11/30/2002 10,995.85 8,982.00 13,877.17
12/31/2002 10,735.95 8,449.52 14,164.43
1/31/2003 10,611.38 8,228.17 14,177.18
2/28/2003 10,543.43 8,104.71 14,372.82
3/31/2003 10,577.40 8,183.41 14,361.32
4/30/2003 11,109.67 8,857.51 14,480.52
5/31/2003 11,517.36 9,324.19 14,749.86
6/30/2003 11,607.96 9,443.09 14,720.36
7/31/2003 11,562.66 9,609.61 14,225.76
8/31/2003 11,743.86 9,796.98 14,319.65
9/30/2003 11,766.51 9,693.01 14,699.12
10/31/2003 12,106.25 10,241.26 14,562.42
11/30/2003 12,208.18 10,331.36 14,597.37
12/31/2003 12,641.23 10,873.27 14,746.26
1/31/2004 12,791.86 11,163.67 14,864.23
2/29/2004 12,907.73 11,318.78 15,024.76
3/31/2004 12,872.97 11,148.03 15,137.45
4/30/2004 12,618.06 10,972.99 14,743.87
5/31/2004 12,722.34 11,123.59 14,684.90
6/30/2004 12,919.32 11,339.96 14,767.90
7/31/2004 12,571.71 10,964.09 14,914.28
8/31/2004 12,629.64 11,008.47 15,198.77
9/30/2004 12,815.03 11,127.64 15,240.00
10/31/2004 13,012.01 11,297.67 15,368.02
11/30/2004 13,452.31 11,754.74 15,245.07
12/31/2004 13,851.66 12,154.82 15,385.33
JNL/S&P MANAGED MODERATE GROWTH FUND
AVERAGE ANNUAL TOTAL RETURN
1 year 9.58%
5 year 2.05%
Since inception 4.96%
(Inception date April 10, 1998).
date JNL/S&P Managed Moderate Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index
10/4/2004 10,000.00 10,000.00 10,000.00
10/31/2004 10,040.00 9,967.46 10,084.00
11/30/2004 10,300.00 10,370.71 10,003.33
12/31/2004 10,540.00 10,723.69 10,095.36
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
[INSERT LOGO] SALOMON BROTHERS ASSET MANAGEMENT INC.
PETER J. WILBY
OBJECTIVE:
JNL/Salomon Brothers High Yield Bond Fund seeks to maximize current income. As a
secondary objective, the Fund seeks capital appreciation. The Fund seeks to
achieve its objectives by investing primarily in a diversified portfolio of
high-yield, high-risk fixed-income securities of U.S. issuers rated in medium to
lower rating categories.
MONEY MANAGER COMMENTARY:
For the 12 months ended December 31, 2004, the JNL/Salomon Brothers High Yield
Bond Fund's Class A shares, returned 8.22%. These shares underperformed the
Fund's unmanaged benchmark, the Citigroup High Yield Index, which returned
10.79% for the same period, and the Lipper variable annuity high current yield
funds category average, which was 9.84% over the 12 months ended December 31,
2004.
During 2004, the high yield market, as represented by the CitigroupHigh Yield
Index, returned 10.79%, outperforming nearly all other fixed income asset
classes. The high-yield market's strong performance reflected the favorable
technical and fundamental conditions that existed for high-yield bonds through
most of the period. The high yield market started the year strong off 2003's
year-long rally but began to decline late in January as volatility picked up on
investor concerns over the timing of anticipated rate increases. The high yield
market continued to decline in February, with lower-quality issues leading the
way down amid large fund outflows, continued profit taking and greater focus on
company fundamentals.
In March, investors sought haven in higher-rated bonds in the
non-investment-grade universe as terrorism fears and weak employment numbers
exerted pressure on stock markets and drove yields on U.S. Treasury bonds lower.
However, economic data released in April showing an improving labor market, and
signs of higher inflation, sparked another sell-off in U.S. Treasury bonds as
investors shifted their expectations of Fed tightening from 2005 to the summer
of 2004. Additionally, economic data in May sparked increased inflation fears,
with concern over Fed tightening transitioning from timing to size and pace of
the expected interest rate increases. Once again, the volatility in the U.S.
Treasury market spilled into the high-yield market, resulting in negative
returns and large mutual fund redemptions.
However, the high-yield bond market rallied for the remainder of the year as
increased investor confidence that the Fed would raise rates at a "measured
pace" resulted in a strong rally in U.S. Treasuries and tight spreads across
fixed income asset classes. Reduced U.S. Treasury market volatility, combined
with the continued low interest rate environment, set a positive tone for high
yield, engendering generally positive mutual fund flows and contributing both to
the record number of deals that came to market during the year and strong demand
for higher yielding assets. Additionally, default rates reached 20-year lows as
the improving economy and the low interest rate environment enabled companies to
extend their debt maturities and improve their liquidity.
Top performing industries for the 12 months ended December 31, 2004 consisted of
Textiles, Restaurants and Consumer Products. The most significant
underperformers included Airlines, Homebuilders and Retail. Similar to last
year, lower-quality bonds outperformed higher quality in 2004, with CCC-rated
bonds returning 15.70%, B-rated bonds returning 10.71% and BB-rated bonds
returning 9.04%. Longer-dated bonds out performed shorter maturities, with bonds
with a remaining maturity of 10 years or greater up 12.18% while bonds with a
remaining maturity of 1-7 years returned 10.74%.
Based on the 7.08% yield of the Citigroup High Yield Index as of December 31,
2004, high-yield bonds continued to offer competitive yields relative to U. S.
Treasury notes. However, high-yield issues are subject to additional risks, such
as the increased possibility of default because of their lower credit quality,
and yields and prices will fluctuate.
The Fund performed broadly in line with the market, excluding fees, during the
first nine months of the year due to our overweighting in the Consumer Products
and Tower sectors and our underweighting in the Airlines sector. However,
performance during the last quarter was hindered by the costs of rebalancing a
transfer of approximately US$280 million in assets in October, which consisted
predominantly of securities acquired from a previous manager with a
significantly different high yield management style from ours. The Fund's
underweighting in the Airlines, Telecommunications and Utilities sectors and
overweighting in the Gaming sector also detracted from performance during the
last three months.
AVERAGE ANNUAL TOTAL RETURN
1 year 8.22%
5 year 7.64%
Since inception 5.46%
(Inception date March 2, 1998).
date JNL/Salomon Brothers High Yield Bond Fund (Class A) Salomon Smith Barney High Yield Market Index
3/2/1998 10,000.00 10,000.00
3/31/1998 10,050.00 10,107.96
4/30/1998 10,080.00 10,163.00
5/31/1998 10,110.00 10,190.16
6/30/1998 10,140.00 10,212.74
7/31/1998 10,190.00 10,294.59
8/31/1998 9,760.00 9,604.50
9/30/1998 9,830.00 9,723.05
10/31/1998 9,690.00 9,589.33
11/30/1998 10,160.00 10,070.56
12/31/1998 10,132.37 10,063.26
1/31/1999 10,248.59 10,214.00
2/28/1999 10,195.77 10,128.18
3/31/1999 10,290.86 10,213.81
4/30/1999 10,428.21 10,427.72
5/31/1999 10,311.99 10,263.87
6/30/1999 10,164.07 10,240.84
7/31/1999 10,111.24 10,263.07
8/31/1999 9,910.50 10,140.95
9/30/1999 9,942.19 10,064.35
10/31/1999 9,783.71 9,995.66
11/30/1999 9,857.67 10,152.26
12/31/1999 9,953.95 10,237.63
1/31/2000 9,839.67 10,152.97
2/29/2000 9,816.82 10,177.15
3/31/2000 9,633.96 9,970.11
4/30/2000 9,599.68 10,009.71
5/31/2000 9,485.40 9,870.49
6/30/2000 9,611.11 10,092.11
7/31/2000 9,702.53 10,201.71
8/31/2000 9,793.96 10,277.69
9/30/2000 9,736.82 10,167.46
10/31/2000 9,508.25 9,866.47
11/30/2000 9,359.69 9,463.01
12/31/2000 9,489.58 9,656.46
1/31/2001 9,848.38 10,307.02
2/28/2001 9,996.85 10,430.08
3/31/2001 9,972.11 10,240.58
4/30/2001 10,009.22 10,090.06
5/31/2001 10,083.46 10,251.79
6/30/2001 9,972.11 9,969.84
7/31/2001 10,095.83 10,157.72
8/31/2001 10,194.81 10,296.33
9/30/2001 9,613.31 9,554.98
10/31/2001 9,860.75 9,872.45
11/30/2001 10,046.34 10,247.74
12/31/2001 9,995.81 10,181.90
1/31/2002 10,090.11 10,225.49
2/28/2002 10,036.22 10,114.27
3/31/2002 10,224.82 10,383.50
4/30/2002 10,386.48 10,553.42
5/31/2002 10,346.07 10,422.52
6/30/2002 9,874.57 9,504.59
7/31/2002 9,591.67 9,074.88
8/31/2002 9,914.98 9,420.24
9/30/2002 9,847.62 9,234.97
10/31/2002 9,780.27 9,203.50
11/30/2002 10,399.95 9,905.79
12/31/2002 10,571.08 10,027.60
1/31/2003 10,767.97 10,401.01
2/28/2003 10,919.42 10,540.50
3/31/2003 11,146.59 10,895.10
4/30/2003 11,691.80 11,572.19
5/31/2003 11,843.25 11,648.98
6/30/2003 12,131.00 12,011.22
7/31/2003 11,994.70 11,833.67
8/31/2003 12,115.86 11,955.12
9/30/2003 12,403.61 12,309.32
10/31/2003 12,721.65 12,595.53
11/30/2003 12,918.53 12,770.49
12/31/2003 13,297.21 13,098.34
1/31/2004 13,512.49 13,324.74
2/29/2004 13,446.25 13,251.82
3/31/2004 13,429.69 13,335.05
4/30/2004 13,396.57 13,289.58
5/31/2004 13,197.86 13,059.39
6/30/2004 13,380.01 13,253.96
7/31/2004 13,495.93 13,424.43
8/31/2004 13,744.32 13,669.71
9/30/2004 13,926.47 13,855.32
10/31/2004 14,158.30 14,142.53
11/30/2004 14,241.10 14,305.55
12/31/2004 14,390.15 14,511.22
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
(FORMERLY JNL/SALOMON BROTHERS GLOBAL BOND FUND)
[INSERT LOGO] SALOMON BROTHERS ASSET MANAGEMENT INC.
PETER J. WILBY, DAVID J. SCOTT, ROGER LAVAN
OBJECTIVE:
JNL/Salomon Brothers Strategic Bond Fund seeks as its investment objective a
high level of current income. As a secondary objective, the Fund will seek
capital appreciation. The Fund seeks to achieve its objectives by investing in a
globally diverse portfolio of fixed income investments and by giving the
subadviser broad discretion to deploy the Fund's assets among certain segments
of the fixed income market that the sub-adviser believes will best contribute to
achievement of the Fund's investment objectives.
MONEY MANAGER COMMENTARY:
As widely anticipated, the Federal Reserve Board ("Fed") raised its federal
funds target rate during 2004, bringing it to 2.25% at year end from 1.00%,
which had been its lowest level in more than 40 years. Even though the market
fully expected the 25 basis point hike in the federal funds rate in late June
and each successive meeting thereafter, the wording of the statements following
the meetings still generated some anxiety. The Fed continued to reiterate
throughout the year that it would increase rates "at a pace that is likely to be
measured" but also added, "the Committee will respond to changes in economic
prospects as needed to fulfill its obligation to maintain price stability." The
10-year U.S. Treasury note ended the year relatively unchanged for the year,
after reaching it's low of 3.68% in March and then hitting its high of 4.87% in
June. After reaching its high in June the 10-year U.S. Treasury market rallied
after the Fed's initial 25 basis point rate hike, and remained range bound for
the remainder of the year.
Most of the year was characterized by investors dissecting language from the Fed
for clues on its assessment of the U.S. economy and pace of rate hikes. The U.S.
economy's quarterly pace of growth continued to advance over the period and the
economy has entered the fourth year of expansion since the 2001 recession.
Although a series of one-off events - surging oil prices, hurricanes, the waning
effects of 2002-2003 tax cuts, etc. - undoubtedly restrained growth in 2004, the
economy proved resilient enough to grow 4.0% over the past four quarters. Even
the U.S. labor market, which generated lackluster results throughout most of
2003, improved over the past year , but the pace of improvements is uneven from
month-to-month. Given the combination of strong gross domestic product ("GDP")
results, comments from the Fed about a more robust economy, improvement in job
growth and a pick-up in inflation, the economy has appeared to be firing on all
cylinders.
In general, 10-year U.S. Treasuries performed better than mortgage-backed
securities, and significantly better than U.S. Agencies securities on a total
return basis over the twelve-month period. All Treasuries finished the year in
positive territory, while longer-term U.S. Treasuries outperformed U.S. Treasury
bills and notes, as the Treasury curve flattened during the second half of the
year, causing the shorter end of the curve to under perform.
During 2004, the high yield market, as represented by the Citigroup High Yield
Market Index , returned 10.79%, outperforming nearly all other fixed income
asset classes. The high-yield market's strong performance reflected the
favorable technical and fundamental conditions that existed for high-yield bonds
through most of the period.
Emerging markets debt performed positively through the 12 months ended December
31, 2004, returning 11.77% as represented by the J.P. Morgan Emerging Markets
Bond Index Plus ("EMBI+") . Good country fundamentals, commodity price strength
and the absence of U.S. Treasury market volatility during the majority of the
period supported emerging markets debt returns.
The Fund's allocation to higher-yielding bonds has proved to be beneficial over
the period, which, in the managers' view, should continue if interest rates
continue to rise from Fed tightening and the economy remains stable. Within the
U.S. investment-grade component of the portfolio, we decreased our
mortgage-backed securities weighting as a defensive posture due to tighter
spreads and valuations within the mortgage-backed sector, and potential for
increased volatility within the mortgage-sector as the Fed continues to raise
interest rates, potentially putting pressure on the 10-year part of the yield
curve. We added to our positions in U.S. Treasuries and investment grade
corporates. We decreased our allocation to the U.S. high yield market in favor
of increasing exposure to emerging markets debt, which provided additional yield
over the 12 months. We remain short duration versus the benchmark index, as we
continue to position the Fund defensively on interest rates.
AVERAGE ANNUAL TOTAL RETURN
1 year 6.91%
5 year 8.52%
Since inception 8.17%
(Inception date May 15, 1995).
JNL/Salomon Brothers
date Strategic Bond Fund (Class A) Citigroup Bond Index Lehman Brothers Aggregate Bond
05/15/1995 10,000.00 10,000.00 10,000.00
05/31/1995 9,930.00 10,194.00 10,070.00
06/30/1995 10,040.00 10,265.00 10,210.00
07/31/1995 10,070.00 10,245.00 10,245.00
08/31/1995 10,110.00 10,362.00 10,368.00
09/30/1995 10,240.00 10,459.00 10,469.00
10/31/1995 10,210.00 10,599.00 10,605.00
11/30/1995 10,420.00 10,764.00 10,764.00
12/31/1995 10,714.07 10,913.00 10,915.00
01/31/1996 11,137.56 10,987.00 10,988.00
02/29/1996 11,010.51 10,800.00 10,797.00
03/31/1996 11,074.03 10,722.00 10,722.00
04/30/1996 11,190.49 10,643.00 10,662.00
05/31/1996 11,285.77 10,637.00 10,588.00
06/30/1996 11,370.47 10,774.00 10,404.00
07/31/1996 11,433.99 10,803.00 10,472.00
08/31/1996 11,592.80 10,788.00 10,619.00
09/30/1996 11,910.41 10,976.00 10,778.00
10/31/1996 11,984.52 11,223.00 11,017.00
11/30/1996 12,175.08 11,408.00 11,206.00
12/31/1996 12,256.28 11,307.00 11,102.00
01/31/1997 12,383.11 11,351.10 11,105.44
02/28/1997 12,509.94 11,363.58 11,133.21
03/31/1997 12,325.46 11,248.81 11,009.63
04/30/1997 12,498.41 11,409.67 11,174.77
05/31/1997 12,740.54 11,516.92 11,280.93
06/30/1997 12,925.02 11,653.97 11,415.17
07/31/1997 13,213.27 11,969.79 11,723.38
08/31/1997 13,178.68 11,866.85 11,623.74
09/30/1997 13,432.33 12,041.30 11,795.77
10/31/1997 13,190.21 12,214.69 11,966.81
11/30/1997 13,386.21 12,272.10 12,021.85
12/31/1997 13,562.83 12,397.28 12,143.27
01/31/1998 13,672.60 12,556.62 12,361.85
02/28/1998 13,770.18 12,547.55 12,434.79
03/31/1998 13,867.75 12,597.05 12,332.71
04/30/1998 13,892.14 12,661.93 12,396.84
05/31/1998 13,916.54 12,783.01 12,514.61
06/30/1998 13,904.34 12,888.32 12,618.59
07/31/1998 13,965.32 12,915.54 12,645.14
08/31/1998 13,062.76 13,113.73 12,844.59
09/30/1998 13,526.24 13,422.75 13,152.36
10/31/1998 13,550.63 13,362.02 13,153.00
11/30/1998 13,855.55 13,435.75 13,157.48
12/31/1998 13,896.64 13,477.51 13,197.07
01/31/1999 13,883.62 13,577.16 13,291.34
02/28/1999 13,766.40 13,339.11 13,059.27
03/31/1999 13,974.78 13,415.41 13,131.73
04/30/1999 14,157.12 13,460.04 13,173.35
05/31/1999 13,818.50 13,336.87 13,057.92
06/30/1999 13,883.62 13,290.86 13,016.21
07/31/1999 13,857.57 13,238.23 12,960.92
08/31/1999 13,727.33 13,228.56 12,954.33
09/30/1999 13,883.62 13,386.91 13,104.65
10/31/1999 13,974.78 13,427.47 13,153.00
11/30/1999 14,026.88 13,426.62 13,151.68
12/31/1999 14,156.56 13,365.47 13,088.26
01/31/2000 14,032.26 13,327.70 13,045.07
02/29/2000 14,308.49 13,483.24 13,202.92
03/31/2000 14,391.35 13,658.13 13,377.20
04/30/2000 14,267.05 13,617.58 13,338.40
05/31/2000 14,156.56 13,605.56 13,331.73
06/30/2000 14,460.41 13,889.86 13,609.03
07/31/2000 14,598.52 14,016.76 13,732.88
08/31/2000 14,778.07 14,217.03 13,932.00
09/30/2000 14,805.69 14,313.39 14,019.77
10/31/2000 14,722.82 14,404.47 14,112.30
11/30/2000 14,860.94 14,638.01 14,343.75
12/31/2000 15,186.77 14,914.83 14,610.54
01/31/2001 15,465.02 15,160.27 14,610.54
02/28/2001 15,567.54 15,294.78 14,610.54
03/31/2001 15,582.18 15,374.90 15,053.24
04/30/2001 15,538.25 15,302.74 15,053.24
05/31/2001 15,611.47 15,402.96 15,053.24
06/30/2001 15,640.76 15,453.85 15,137.54
07/31/2001 15,875.08 15,810.88 15,137.54
08/31/2001 16,050.82 15,985.47 15,137.54
09/30/2001 15,948.31 16,182.53 15,835.38
10/31/2001 16,299.78 16,509.13 15,835.38
11/30/2001 16,167.98 16,280.84 15,835.38
12/31/2001 16,206.43 16,185.45 15,843.30
01/31/2002 16,362.12 16,312.93 15,970.04
02/28/2002 16,517.80 16,468.90 16,124.95
03/31/2002 16,502.23 16,196.37 15,857.28
04/30/2002 16,782.45 16,503.62 16,164.91
05/31/2002 16,782.45 16,643.88 16,302.31
06/30/2002 16,486.66 16,766.41 16,444.14
07/31/2002 16,268.71 16,965.95 16,643.11
08/31/2002 16,766.89 17,263.09 16,924.38
09/30/2002 16,798.02 17,537.83 17,198.56
10/31/2002 16,860.30 17,458.72 17,119.44
11/30/2002 17,233.93 17,455.89 17,114.31
12/31/2002 17,564.25 17,818.33 17,468.58
1/31/2003 17,729.48 17,831.94 17,484.30
2/28/2003 18,059.95 18,085.58 17,725.58
3/31/2003 18,258.22 18,068.60 17,711.40
4/30/2003 18,853.06 18,228.00 17,858.40
5/31/2003 19,299.19 18,564.36 18,190.57
6/30/2003 19,332.24 18,531.78 18,154.19
7/31/2003 18,753.92 17,904.74 17,544.21
8/31/2003 18,968.73 18,027.73 17,660.00
9/30/2003 19,464.42 18,500.20 18,127.99
10/31/2003 19,497.47 18,329.78 17,959.40
11/30/2003 19,613.13 18,383.57 18,002.50
12/31/2003 19,941.24 18,567.39 18,186.13
1/31/2004 20,098.68 18,720.68 18,331.62
2/29/2004 20,168.64 18,921.80 18,529.60
3/31/2004 20,291.09 19,065.95 18,668.57
4/30/2004 19,888.77 18,570.99 18,183.19
5/31/2004 19,766.32 18,491.27 18,110.46
6/30/2004 19,923.75 18,600.96 18,212.82
7/31/2004 20,151.15 18,785.16 18,393.34
8/31/2004 20,518.49 19,156.51 18,744.19
9/30/2004 20,658.43 19,207.22 18,795.05
10/31/2004 20,903.32 19,375.47 18,952.93
11/30/2004 21,043.26 19,213.55 18,801.30
12/31/2004 21,319.68 19,398.40 18,974.27
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
[INSERT LOGO] SALOMON BROTHERS ASSET MANAGEMENT INC.
ROGER LAVAN
OBJECTIVE:
JNL/Salomon Brothers U.S. Government & Quality Bond Fund seeks as its investment
objective a high level of current income, by investing primarily in debt
obligations and mortgage-backed securities issued or guaranteed by the U.S.
Government, its agencies or instrumentalities including collateralized mortgage
obligations backed by such securities. The Fund may also invest a portion of its
assets in investment-grade bonds.
MONEY MANAGER COMMENTARY:
As widely anticipated, the Federal Reserve Board ("Fed") raised its federal
funds target rate during 2004, bringing it to 2.25% at year end, from 1.00%,
which had been its lowest level in more than 40 years. Even though the market
fully expected the 25 basis point hike in the federal funds rate in late June
and each successive meeting thereafter, the wording of the statements following
the meetings still generated some anxiety. The Fed continued to reiterate
throughout the year that it would increase rates "at a pace that is likely to be
measured" but also added, "the Committee will respond to changes in economic
prospects as needed to fulfill its obligation to maintain price stability." The
10-year U.S. Treasury note ended the year relatively unchanged at -2 bps change
for the year, after reaching it's low of 3.68% in March and then hitting its
high of 4.87% in June. After reaching its high in June the 10-year U.S. Treasury
market rallied after the Fed's initial 25 basis point rate hike, and remained
range bound for the remainder of the year.
Investors spent much of the year dissecting language from the Fed for clues on
its assessment of the U.S. economy and pace of rate hikes. The U.S. economy's
quarterly pace of growth continued to advance over the period and the economy
has entered the fourth year of expansion since the 2001 recession. Although a
series of one-off events - surging oil prices, hurricanes, the waning effects of
2002-2003 tax cuts, etc. - undoubtedly restrained growth in 2004, the economy
proved resilient enough to grow 4.0% over the past four quarters. Even the U.S.
labor market, which generated lackluster results throughout most of 2003,
improved over the past year , but the pace of improvements was uneven from
month-to-month. Given the combination of strong gross domestic product ("GDP")
results, comments from the Fed about a more robust economy, improvement in job
growth and a pick-up in inflation, the economy has appeared to be firing on all
cylinders.
Mortgage-backed securities outperformed U.S. Treasury securities of comparable
duration during the year. Agency securities provided only modest excess returns
versus U.S. Treasuries of similar duration. All Treasuries finished the year in
positive territory, while longer-term U.S. Treasury outperformed U.S. Treasury
bills and notes, as the Treasury curve flattened during the second half of the
year, causing the shorter end of the curve to under perform.
During the 12 months ended December 31, 2004, we increased our allocations to
agencies and mortgage pass-throughs and decreased our exposure to CMOs and ABS
securities. We remain short duration versus the benchmark index, as we continue
to position our portfolios defensively on interest rates. Given the current
trading range of the 10-Year U.S. Treasury Bond and concerns about interest rate
volatility, we plan to maintain our tactical short-duration posture. We continue
to emphasize mortgage-backed securities, which have provided greater risk
adjusted returns in the past during low interest rate volatility periods. We
will continue to monitor our tactical sector allocations and will make
adjustments as interest rate volatility increases and rates start to backup on
the 10-year part of the yield curve.
AVERAGE ANNUAL TOTAL RETURN
1 year 3.85%
5 year 6.89%
Since inception 6.18%
(Inception date May 15, 1995).
date JNL/Salomon Brothers U.S. Government & Quality Bond Fund (Class A) Salomon Smith Barney Treasury Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,030.00 10,199.00
6/30/1995 10,140.00 10,277.00
7/31/1995 10,060.00 10,242.00
8/31/1995 10,180.00 10,356.00
9/30/1995 10,270.00 10,449.00
10/31/1995 10,410.00 10,612.00
11/30/1995 10,560.00 10,784.00
12/31/1995 10,693.64 10,934.00
1/31/1996 10,766.24 11,005.00
2/29/1996 10,548.43 10,786.00
3/31/1996 10,465.45 10,691.00
4/30/1996 10,423.96 10,608.00
5/31/1996 10,392.84 10,606.00
6/30/1996 10,506.94 10,737.00
7/31/1996 10,527.68 10,761.00
8/31/1996 10,527.68 10,740.00
9/30/1996 10,693.64 10,916.00
10/31/1996 10,901.08 11,161.00
11/30/1996 11,098.15 11,348.00
12/31/1996 10,969.35 11,232.00
1/31/1997 11,001.61 11,248.85
2/28/1997 11,023.12 11,254.47
3/31/1997 10,904.82 11,141.93
4/30/1997 11,044.63 11,295.69
5/31/1997 11,130.66 11,393.96
6/30/1997 11,227.45 11,521.57
7/31/1997 11,560.83 11,852.24
8/31/1997 11,431.78 11,730.16
9/30/1997 11,603.85 11,910.81
10/31/1997 11,797.42 12,118.05
11/30/1997 11,840.44 12,145.93
12/31/1997 11,973.66 12,249.17
1/31/1998 12,152.87 12,437.58
2/28/1998 12,130.47 12,397.93
3/31/1998 12,152.87 12,435.32
4/30/1998 12,208.87 12,490.09
5/31/1998 12,320.88 12,617.81
6/30/1998 12,421.69 12,764.34
7/31/1998 12,444.09 12,784.17
8/31/1998 12,735.31 13,127.89
9/30/1998 13,149.74 13,494.11
10/31/1998 13,037.73 13,447.72
11/30/1998 13,037.73 13,449.29
12/31/1998 13,099.34 13,474.66
1/31/1999 13,169.83 13,557.28
2/28/1999 12,887.87 13,214.42
3/31/1999 12,970.11 13,266.72
4/30/1999 13,005.36 13,296.35
5/31/1999 12,840.88 13,177.45
6/30/1999 12,758.64 13,145.13
7/31/1999 12,711.65 13,134.01
8/31/1999 12,711.65 13,136.67
9/30/1999 12,864.38 13,238.88
10/31/1999 12,887.87 13,254.70
11/30/1999 12,852.63 13,229.91
12/31/1999 12,771.53 13,144.70
1/31/2000 12,685.23 13,175.77
2/29/2000 12,870.15 13,373.88
3/31/2000 13,055.07 13,638.51
4/30/2000 13,018.08 13,598.26
5/31/2000 13,005.76 13,618.37
6/30/2000 13,239.98 13,848.25
7/31/2000 13,338.60 13,989.35
8/31/2000 13,535.85 14,193.18
9/30/2000 13,609.81 14,205.98
10/31/2000 13,720.76 14,343.93
11/30/2000 13,967.32 14,637.08
12/31/2000 14,240.76 14,916.94
1/31/2001 14,409.67 15,033.01
2/28/2001 14,526.61 15,216.34
3/31/2001 14,591.58 15,266.32
4/30/2001 14,435.66 15,078.30
5/31/2001 14,474.64 15,128.89
6/30/2001 14,526.61 15,207.83
7/31/2001 14,903.42 15,584.43
8/31/2001 15,072.33 15,785.74
9/30/2001 15,436.15 16,039.75
10/31/2001 15,851.94 16,475.68
11/30/2001 15,423.15 16,074.63
12/31/2001 15,225.85 15,921.05
1/31/2002 15,362.16 16,025.22
2/28/2002 15,525.73 16,173.63
3/31/2002 15,157.69 15,779.71
4/30/2002 15,552.99 16,166.15
5/31/2002 15,648.41 16,259.56
6/30/2002 15,839.25 16,488.81
7/31/2002 16,166.39 16,876.64
8/31/2002 16,493.53 17,233.55
9/30/2002 16,875.20 17,697.61
10/31/2002 16,725.26 17,496.16
11/30/2002 16,575.32 17,329.30
12/31/2002 16,972.77 17,774.18
1/31/2003 16,944.22 17,718.12
2/28/2003 17,229.72 18,024.04
3/31/2003 17,144.07 17,947.47
4/30/2003 17,243.99 18,031.09
5/31/2003 17,700.79 18,555.02
6/30/2003 17,572.32 18,438.21
7/31/2003 16,587.35 17,630.82
8/31/2003 16,744.38 17,734.26
9/30/2003 17,158.35 18,267.34
10/31/2003 16,987.05 17,991.35
11/30/2003 17,044.15 18,017.35
12/31/2003 17,172.69 18,177.11
1/31/2004 17,307.44 18,330.35
2/29/2004 17,472.13 18,554.75
3/31/2004 17,576.93 18,731.00
4/30/2004 17,067.89 18,129.49
5/31/2004 17,022.97 18,070.46
6/30/2004 17,142.75 18,146.61
7/31/2004 17,307.44 18,312.56
8/31/2004 17,576.93 18,690.64
9/30/2004 17,621.84 18,739.87
10/31/2004 17,771.56 18,887.80
11/30/2004 17,666.76 18,633.97
12/31/2004 17,833.98 18,819.19
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SELECT BALANCED FUND
(FORMERLY THE JNL/PPM AMERICA BALANCED FUND)*
[INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP
EDWARD P. BOUSA
OBJECTIVE:
The investment objective of the JNL/Select Balanced Fund is reasonable income
and long-term capital growth.
MONEY MANAGER COMMENTARY:
The Fund's Class A shares returned 5.32% for the period from Wellington
Management's inception as subadviser on October 04, 2004 through December 31,
2004. Over this time period, the Fund outperformed the custom benchmark of 65%
S&P 500 / 35% Lehman Brothers Aggregate Bond return of 4.97%. For the full year,
the Fund's return of 10.88% compares favorably with the 10.88% return of the S&P
500 Index.
2004 finished strongly following the 2004 Presidential election. Oil prices
peaked in October and have retreated roughly $8/barrel since then. This
softening in energy costs was viewed as a positive for corporate earnings. The
Federal Funds rate continued its rise to 2.25%, but long term rates were not
significantly altered. Asian demand for US goods and services, a key driver of
US industrial growth, remained solid. The weak US dollar also contributed to
corporate earnings growth. Overall, the economy performed well, even with modest
concerns about the consumer's ability to grow spending.
The equity market rally in the fourth quarter brought equities back to more
fairly valued levels. The S&P 500 is currently valued at 17x 2005 projected
earnings and its current yield is only 1.7%. The market's previous valuation
discount, driven by terrorism and economic uncertainty seems to have been
largely erased by the market recovery.
The Fund's equity portfolio outperformed the S&P 500 during the period. Our
positions in Financials and Consumer Staples contributed favorably to
performance, as strong stock selection drove positive outperformance in both
sectors. However, our overweight position in Energy detracted from performance,
as the fall in the price off its peak slowed what had been a strong sector
earlier in the year.
The Fund's strongest contributors during the quarter included Caterpillar (21%),
Altria (28%), Encana (16%), and Hartford Financial Services (19%). Caterpillar
experienced increased demand for its products as industrial production expanded
globally. Altria's Philip Morris unit had positive legal developments. There is
increased hope for more favorable treatment from a second Bush Administration.
Stocks detracting from performance included Alcoa (-3%) and Pfizer (-7%). Alcoa
has lagged because of the drag of labor issues at several plants. This dispute
appears to be resolved now.
On the fixed income side, the Fund outperformed the Lehman Brothers Aggregate
Bond Index during the period. The yield curve posture of the Fund added to
returns relative to the benchmark. The Fund's barbelled term structure also
enhanced returns as the yield curve flattened. In terms of sector allocation,
gains generated from the Fund's overweight to the credit and securitized sectors
were offset by an underweight to the mortgage-backed pass-through (MBS) sector
which posted strong performance.
AVERAGE ANNUAL TOTAL RETURN
1 year 10.88%
5 year 9.59%
Since inception 10.57%
(Inception date May 15, 1995). Prior to May 1, 1997, the Fund was managed by the
Phoenix Investment Counsel, Inc.
*Prior to 10/04/2004, the Fund was managed by PPM America, Inc.
date JNL/Select Balanced Fund (Class A) S&P 500 Index Lehman Brothers Aggregate Bond Index
5/15/1995 10,000.00 10,000.00 10,000.00
5/31/1995 10,070.00 10,130.00 10,070.00
6/30/1995 10,210.00 10,356.00 10,210.00
7/31/1995 10,460.00 10,694.00 10,245.00
8/31/1995 10,660.00 10,726.00 10,368.00
9/30/1995 10,840.00 11,179.00 10,469.00
10/31/1995 10,890.00 11,139.00 10,605.00
11/30/1995 11,270.00 11,627.00 10,764.00
12/31/1995 11,544.72 11,851.00 10,915.00
1/31/1996 11,711.73 12,254.00 10,988.00
2/29/1996 11,711.73 12,368.00 10,797.00
3/31/1996 11,659.54 12,487.00 10,722.00
4/30/1996 11,649.10 12,671.00 10,662.00
5/31/1996 11,878.74 12,996.00 10,588.00
6/30/1996 11,983.12 13,046.00 10,404.00
7/31/1996 11,555.15 12,469.00 10,472.00
8/31/1996 11,732.60 12,732.00 10,619.00
9/30/1996 12,264.96 13,448.00 10,778.00
10/31/1996 12,588.54 13,819.00 11,017.00
11/30/1996 13,089.58 14,862.00 11,206.00
12/31/1996 12,792.44 14,568.00 11,102.00
1/31/1997 13,339.76 15,477.04 11,105.44
2/28/1997 13,200.25 15,597.76 11,133.21
3/31/1997 12,738.78 14,958.26 11,009.63
4/30/1997 13,125.13 15,849.77 11,174.77
5/31/1997 13,640.26 16,813.43 11,280.93
6/30/1997 13,983.68 17,566.68 11,415.17
7/31/1997 14,638.33 18,963.23 11,723.38
8/31/1997 14,370.03 17,901.29 11,623.74
9/30/1997 14,810.04 18,882.28 11,795.77
10/31/1997 14,573.93 18,251.61 11,966.81
11/30/1997 14,938.82 19,096.66 12,021.85
12/31/1997 15,150.04 19,424.43 12,143.27
1/31/1998 15,126.84 19,639.25 12,361.85
2/28/1998 15,869.27 21,055.75 12,434.79
3/31/1998 16,391.28 22,133.99 12,332.71
4/30/1998 16,414.48 22,417.75 12,396.84
5/31/1998 16,414.48 21,996.30 12,514.61
6/30/1998 16,344.88 22,862.95 12,618.59
7/31/1998 16,112.87 22,620.12 12,645.14
8/31/1998 14,987.64 19,352.80 12,844.59
9/30/1998 15,440.05 20,592.62 13,152.36
10/31/1998 16,101.27 22,266.16 13,153.00
11/30/1998 16,658.09 23,615.11 13,157.48
12/31/1998 16,674.14 24,975.06 13,197.07
1/31/1999 16,735.99 26,019.44 13,291.34
2/28/1999 16,476.23 25,211.07 13,059.27
3/31/1999 16,562.81 26,219.74 13,131.73
4/30/1999 17,515.27 27,235.12 13,173.35
5/31/1999 17,403.94 26,591.99 13,057.92
6/30/1999 17,626.59 28,067.79 13,016.21
7/31/1999 17,255.51 27,191.38 12,960.92
8/31/1999 16,909.16 27,056.91 12,954.33
9/30/1999 16,612.29 26,315.12 13,104.65
10/31/1999 16,735.99 27,980.40 13,153.00
11/30/1999 16,698.88 28,549.21 13,151.68
12/31/1999 16,656.75 30,230.62 13,088.26
1/31/2000 16,048.64 28,711.77 13,045.07
2/29/2000 15,281.90 28,168.23 13,202.92
3/31/2000 16,498.11 30,923.95 13,377.20
4/30/2000 16,471.67 29,993.60 13,338.40
5/31/2000 16,564.21 29,378.20 13,331.73
6/30/2000 16,114.74 30,102.43 13,609.03
7/31/2000 16,101.52 29,631.78 13,732.88
8/31/2000 16,802.16 31,472.32 13,932.00
9/30/2000 16,855.04 29,810.74 14,019.77
10/31/2000 17,397.05 29,684.73 14,112.30
11/30/2000 17,211.97 27,344.42 14,343.75
12/31/2000 18,030.77 27,478.21 14,610.54
1/31/2001 18,827.26 28,453.11 14,610.54
2/28/2001 18,923.39 25,858.67 14,610.54
3/31/2001 18,635.00 24,220.50 15,053.24
4/30/2001 19,211.77 26,102.68 15,053.24
5/31/2001 19,527.62 26,277.59 15,053.24
6/30/2001 19,651.21 25,638.02 15,137.54
7/31/2001 19,953.32 25,385.59 15,137.54
8/31/2001 19,761.07 23,796.45 15,137.54
9/30/2001 18,786.06 21,874.84 15,835.38
10/31/2001 19,088.18 22,291.95 15,835.38
11/30/2001 19,719.87 24,001.92 15,835.38
12/31/2001 19,936.87 24,212.56 15,843.30
1/31/2002 20,264.40 23,873.58 15,970.04
2/28/2002 20,378.33 23,413.21 16,124.95
3/31/2002 20,734.34 24,293.75 15,857.28
4/30/2002 20,648.90 22,820.87 16,164.91
5/31/2002 21,019.16 22,652.75 16,302.31
6/30/2002 20,421.05 21,039.24 16,444.14
7/31/2002 19,409.97 19,399.04 16,643.11
8/31/2002 19,623.57 19,526.32 16,924.38
9/30/2002 18,142.55 17,404.18 17,198.56
10/31/2002 18,996.99 18,936.08 17,119.44
11/30/2002 19,908.39 20,050.62 17,114.31
12/31/2002 19,551.43 18,861.96 17,468.58
1/31/2003 19,224.08 18,367.83 17,484.30
2/28/2003 18,986.01 18,092.24 17,725.58
3/31/2003 19,030.65 18,267.91 17,711.40
4/30/2003 20,176.36 19,772.72 17,858.40
5/31/2003 21,277.43 20,814.48 18,190.57
6/30/2003 21,441.10 21,079.91 18,154.19
7/31/2003 21,441.10 21,451.63 17,544.21
8/31/2003 21,753.57 21,869.92 17,660.00
9/30/2003 21,798.20 21,637.81 18,127.99
10/31/2003 22,661.20 22,861.67 17,959.40
11/30/2003 22,854.64 23,062.80 18,002.50
12/31/2003 23,768.83 24,272.52 18,186.13
1/31/2004 24,135.68 24,718.01 18,331.62
2/29/2004 24,441.39 25,061.47 18,529.60
3/31/2004 24,441.39 24,683.39 18,668.57
4/30/2004 23,982.82 24,295.84 18,183.19
5/31/2004 24,074.54 24,629.28 18,110.46
6/30/2004 24,502.53 25,108.36 18,212.82
7/31/2004 24,273.25 24,276.12 18,393.34
8/31/2004 24,594.24 24,374.39 18,744.19
9/30/2004 24,869.38 24,638.25 18,795.05
10/31/2004 25,022.23 25,014.72 18,952.93
11/30/2004 25,694.79 26,026.74 18,801.30
12/31/2004 26,353.77 26,912.58 18,974.27
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SELECT GLOBAL GROWTH FUND
(FORMERLY THE JNL/JANUS GLOBAL EQUITIES FUND)*
[INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP
JOHN A. BOSELLI
OBJECTIVE:
The investment objective of the JNL/Select Global Growth Fund is long-term
growth of capital.
MONEY MANAGER COMMENTARY:
FUND PERFORMANCE:
During 2004 Wellington Management assumed subadvisery responsibilities for the
Fund. The Fund's Class A shares returned 12.0% for the period from Wellington's
inception as subadviser on May 01, 2004 through December 31, 2004. Over this
time period, the Fund trailed the MSCI World benchmark return of 14.5% but beat
the MSCI World Growth benchmark return of 10.9%. For the full year, the Fund
returned 11.36% vs. 14.72% for it's benchmark the MSCI World Index.
MARKET OVERVIEW:
During the period, global equity markets, as measured by the MSCI World Index,
outperformed US equity markets, as measured by the S&P 500 Index. The advance of
global markets was disparate, with value-oriented sectors of the MSCI World
Index, such as Energy, Utilities, and Materials, achieving returns ranging from
23-25%. The returns of more growth-oriented sectors, such as Health Care and
Technology were much lower.
We do not manage the Fund according to country weights. Instead, we focus mainly
on sector and stock weights. Our outperformance versus the benchmark was
primarily driven by strong stock selection within the Health Care and
Information Technology sectors. Although these were among the weakest sectors of
the benchmark, they were the strongest sectors of the Fund. The three largest
contributors to the Fund's absolute returns were from these two sectors. The two
largest contributors were Apple Computer and Canadian technology hardware
company, Research in Motion. Research in Motion, which produces the wildly
successful Blackberry device, is an example of how we are able to take advantage
of volatility caused by non-fundamental factors. During the summer, the stock
fell although there was no change in the outlook for the company. We took
advantage of this disparity and added to our position. The stock price
subsequently rose dramatically. Much of the volatility in the stock price was
attributed to an outstanding patent litigation case. After much work, we
concluded that the ruling would come sooner and have a more negative effect on
the stock price than expected. As a result, we trimmed our holdings, fortunately
ahead of the December 12 US appeals court ruling and the subsequent drop in
stock price.
Relative performance was offset somewhat by the Fund's stock selection in
Energy, Financials and Industrials. The three largest detractors from absolute
returns were Red Hat, Alcatel, and Samsung Electronics. Alcatel, the French
communications and energy infrastructure company, dramatically underperformed
after reporting weak second quarter results, largely upon disappointment with
cost cutting efforts. We continued to hold the stock as of the end of the period
as the price has rebounded.
We continue to be positioned for economic growth and are beginning to see many
of the trends play out in stock price performance. Our focus will remain on
stock and sector selection, coming from intense bottom-up research. Our large
weights in the Consumer Discretionary and Information Technology sectors, some
of the strongest representatives of growth, are a result of our bottom-up
research and analysis. We will continue to meet with every company we invest in,
and of course, with many others.
AVERAGE ANNUAL TOTAL RETURN
1 year 11.36%
5 year -8.84%
Since inception 10.66%
(Inception date May 15, 1995).
*Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC
date JNL/Select Global Growth Fund (Class A) MSCI World Index
5/15/1995 10,000.00 10,000.00
5/31/1995 10,180.00 10,046.00
6/30/1995 10,680.00 10,026.00
7/31/1995 11,600.00 10,511.00
8/31/1995 11,910.00 10,260.00
9/30/1995 12,240.00 10,543.00
10/31/1995 12,150.00 10,360.00
11/30/1995 12,470.00 10,703.00
12/31/1995 12,926.00 10,999.00
1/31/1996 13,317.07 11,182.00
2/29/1996 13,512.61 11,233.00
3/31/1996 14,150.68 11,402.00
4/30/1996 14,613.79 11,588.00
5/31/1996 15,210.69 11,581.00
6/30/1996 15,735.55 11,623.00
7/31/1996 15,220.98 11,194.00
8/31/1996 15,838.46 11,305.00
9/30/1996 16,064.88 11,730.00
10/31/1996 16,260.41 11,794.00
11/30/1996 17,104.31 12,437.00
12/31/1996 16,979.84 12,221.00
1/31/1997 17,638.93 12,370.34
2/28/1997 18,041.08 12,514.70
3/31/1997 17,974.06 12,269.29
4/30/1997 17,951.72 12,672.46
5/31/1997 19,001.79 13,456.88
6/30/1997 19,996.00 14,130.27
7/31/1997 20,967.87 14,783.23
8/31/1997 19,638.53 13,796.44
9/30/1997 21,146.61 14,548.21
10/31/1997 20,029.51 13,784.72
11/30/1997 19,951.32 14,030.78
12/31/1997 20,226.96 14,203.92
1/31/1998 20,944.40 14,581.50
2/28/1998 22,633.83 15,549.20
3/31/1998 23,698.41 16,335.68
4/30/1998 24,219.13 16,476.17
5/31/1998 25,063.85 16,250.44
6/30/1998 25,630.85 16,463.94
7/31/1998 25,885.42 16,418.50
8/31/1998 22,008.97 14,209.90
9/30/1998 21,291.54 14,443.56
10/31/1998 22,286.69 15,729.83
11/30/1998 23,756.27 16,646.03
12/31/1998 25,661.00 17,439.66
1/31/1999 27,320.67 17,801.99
2/28/1999 26,299.33 17,308.85
3/31/1999 27,332.27 18,009.78
4/30/1999 27,761.70 18,699.98
5/31/1999 27,030.51 17,996.98
6/30/1999 28,678.57 18,816.67
7/31/1999 28,690.18 18,740.10
8/31/1999 28,806.24 18,686.41
9/30/1999 29,525.82 18,485.25
10/31/1999 31,789.00 19,426.21
11/30/1999 36,501.06 19,952.95
12/31/1999 42,231.98 21,565.48
1/31/2000 41,794.16 20,328.04
2/29/2000 48,609.96 20,215.74
3/31/2000 47,367.50 21,786.57
4/30/2000 43,415.28 20,862.88
5/31/2000 40,504.36 20,332.21
6/30/2000 42,681.63 21,014.32
7/31/2000 41,545.66 20,420.22
8/31/2000 43,663.77 21,081.94
9/30/2000 40,125.70 19,958.48
10/31/2000 38,575.58 19,621.62
11/30/2000 34,729.86 18,427.88
12/31/2000 34,509.84 18,723.52
1/31/2001 35,798.81 19,084.08
2/28/2001 31,108.03 17,469.13
3/31/2001 28,383.92 16,318.77
4/30/2001 31,174.47 17,521.69
5/31/2001 30,789.11 17,293.37
6/30/2001 29,579.87 16,749.11
7/31/2001 28,144.73 16,525.24
8/31/2001 26,124.90 15,729.60
9/30/2001 23,507.09 14,341.48
10/31/2001 24,251.24 14,615.33
11/30/2001 25,792.69 15,477.75
12/31/2001 26,398.46 15,573.48
1/31/2002 25,124.61 15,100.09
2/28/2002 24,880.68 14,967.29
3/31/2002 26,113.88 15,626.60
4/30/2002 24,636.75 15,095.45
5/31/2002 24,447.03 15,120.61
6/30/2002 22,820.84 14,200.57
7/31/2002 20,639.04 13,002.35
8/31/2002 20,855.87 13,024.56
9/30/2002 18,565.65 11,590.56
10/31/2002 19,527.81 12,444.60
11/30/2002 20,246.05 13,113.67
12/31/2002 19,240.51 12,476.53
1/31/2003 18,378.38 12,096.32
2/28/2003 17,913.10 11,884.62
3/31/2003 17,639.41 11,845.39
4/30/2003 18,980.50 12,895.10
5/31/2003 20,143.69 13,629.27
6/30/2003 20,513.17 13,863.44
7/31/2003 20,923.71 14,143.34
8/31/2003 21,197.40 14,447.17
9/30/2003 21,060.55 14,534.11
10/31/2003 22,292.16 15,395.14
11/30/2003 22,524.80 15,627.82
12/31/2003 23,852.21 16,607.06
1/31/2004 24,317.48 16,873.54
2/29/2004 24,618.54 17,156.09
3/31/2004 25,097.50 17,042.24
4/30/2004 23,715.36 16,693.20
5/31/2004 23,852.21 16,832.50
6/30/2004 24,618.54 17,191.12
7/31/2004 22,757.44 16,629.83
8/31/2004 22,593.23 16,702.92
9/30/2004 23,770.10 17,018.90
10/31/2004 24,659.60 17,435.35
11/30/2004 26,028.05 18,351.25
12/31/2004 26,561.75 19,051.77
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SELECT LARGE CAP GROWTH FUND
(FORMERLY JNL/JANUS AGGRESSIVE GROWTH FUND)*
[INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP
JOHN A. BOSELLI
OBJECTIVE:
JNL/Select Large Cap Growth Fund seeks as its investment objective long-term
growth of capital by investing primarily in common stocks of issuers of any
size, including larger, well-established companies and smaller, emerging growth
companies.
MONEY MANAGER COMMENTARY:
FUND PERFORMANCE:
During 2004, Wellington Management assumed subadviser duties for the Fund. The
Fund's Class A shares returned 8.60% for the period from Wellington's inception
as subadviser on May 1, 2004 through December 31, 2004. Over this time period,
the Fund outperformed the Russell 1000 Growth benchmark return of 6.71%. For the
full year, the Fund returned 11.67% vs. 10.88% for it's benchmark the S&P 500
Index.
MARKET OVERVIEW:
The US market was weak over the summer as a result of investor focus on several
concerns: a softening economy, uncertainty over presidential elections,
continued violence in Iraq, and worries of potential terrorist strikes during
the political conventions or the Olympics. By autumn, many of these worries had
been mitigated. The economy seemed to be moving forward despite record high oil
prices and America remained free of terrorist attacks. This benign news powered
another rise in the final months of the year. During the period, value stocks
outperformed growth, as they have for the last several years.
The Fund outperformed its benchmark in this volatile environment by maintaining
its focus on stock selection and investing with high conviction. Stock selection
in Technology was the primary driver of the Fund's outperformance. Wireless
handheld device maker Research In Motion continued to appreciate during the
summer due to the introduction of a new consumer voice and messaging device plus
continued strong subscriber growth. We began to sell shares in Research in
Motion as the stock price appreciation reduced the valuation attractiveness of
the stock. Internet media company Yahoo! also boosted results on favorable
trends for online advertising and paid search, while online auctioneer eBay, a
Consumer Discretionary stock, rose on strong international growth and
accelerating PayPal metrics.
On the negative side, stock selection in Health Care and Industrials partially
offset the Fund's overall positive return. The Fund's three largest detractors
were in the Health Care sector. Drug distributor Cardinal Health was hurt by an
investigation of accounting practices. We sold the stock as the investigation
continues and Cardinal's distribution business continues to see competitive
pressures. AstraZeneca fell on concerns regarding the safety profile of
cholesterol fighting drug Crestor and a potential shortcoming in its non-small
cell lung cancer drug Iressa, while shares of Eli Lilly reacted negatively to
slowing Zyprexa sales.
Though we believe that the economy will exhibit moderate growth over the
intermediate term, we are somewhat challenged to aptly forecast the near-term
macroeconomic environment. In this uncertain environment, we continue to
emphasize competitively-advantaged, share-gaining industry leaders that should
perform well in most economic scenarios.
AVERAGE ANNUAL TOTAL RETURN
1 year 11.67%
5 year -10.11%
Since inception 12.03%
(Inception date May 15, 1995).
*Prior to 05/01/2004, the Fund was managed by Janus Capital Management, LLC
date JNL/Select Large Cap Growth Fund (Class A) Russell 1000 Growth Index S&P 500 Index
5/15/1995 10,000.00 10,000.00 10,000
5/31/1995 10,130.00 10,366.00 10,130
6/30/1995 10,860.00 10,789.41 10,356
7/31/1995 11,860.00 10,788.22 10,694
8/31/1995 11,870.00 11,385.47 10,726
9/30/1995 12,190.00 11,263.47 11,179
10/31/1995 11,910.00 11,686.89 11,139
11/30/1995 12,490.00 11,737.53 11,627
12/31/1995 12,409.00 12,113.89 11,851
1/31/1996 12,760.58 12,324.01 12,254
2/29/1996 13,401.72 12,537.77 12,368
3/31/1996 13,577.51 12,529.26 12,487
4/30/1996 14,125.57 12,851.72 12,671
5/31/1996 14,446.14 13,283.69 12,996
6/30/1996 14,022.17 13,278.42 13,046
7/31/1996 13,029.45 12,491.54 12,469
8/31/1996 13,773.99 12,799.00 12,732
9/30/1996 14,601.25 13,713.24 13,448
10/31/1996 14,528.87 13,786.66 13,819
11/30/1996 14,901.14 14,796.22 14,862
12/31/1996 14,760.95 14,486.32 14,568
1/31/1997 15,356.68 15,495.49 15,477
2/28/1997 14,783.01 15,376.64 15,598
3/31/1997 14,010.77 14,529.32 14,958
4/30/1997 14,275.54 15,483.32 15,850
5/31/1997 15,113.98 16,578.87 16,813
6/30/1997 15,665.58 17,231.89 17,567
7/31/1997 17,022.53 18,725.76 18,963
8/31/1997 16,261.32 17,604.65 17,901
9/30/1997 17,232.14 18,452.77 18,882
10/31/1997 16,746.73 17,753.50 18,252
11/30/1997 16,702.60 18,494.96 19,097
12/31/1997 16,630.60 18,684.39 19,424
1/31/1998 17,191.44 19,226.68 19,639
2/28/1998 18,713.72 20,675.51 21,056
3/31/1998 19,595.04 21,476.19 22,134
4/30/1998 20,373.35 21,759.72 22,418
5/31/1998 19,766.72 21,132.23 21,996
6/30/1998 21,620.93 22,405.45 22,863
7/31/1998 21,563.70 22,237.52 22,620
8/31/1998 18,038.42 18,884.75 19,353
9/30/1998 20,201.66 20,295.04 20,593
10/31/1998 20,934.19 21,923.56 22,266
11/30/1998 22,319.12 23,568.31 23,615
12/31/1998 26,219.85 25,674.63 24,975
1/31/1999 29,782.32 27,161.99 26,019
2/28/1999 28,832.33 25,913.51 25,211
3/31/1999 32,477.93 27,251.22 26,220
4/30/1999 34,199.80 27,289.75 27,235
5/31/1999 32,311.68 26,429.06 26,592
6/30/1999 34,829.17 28,291.62 28,068
7/31/1999 33,368.55 27,334.38 27,191
8/31/1999 34,294.80 27,778.12 27,057
9/30/1999 35,992.91 27,179.03 26,315
10/31/1999 38,688.52 29,214.80 27,980
11/30/1999 42,726.00 30,750.03 28,549
12/31/1999 50,979.82 33,959.20 30,231
1/31/2000 50,928.80 32,351.77 28,712
2/29/2000 57,191.27 33,389.72 28,168
3/31/2000 57,994.80 36,276.02 30,924
4/30/2000 52,867.49 34,582.19 29,994
5/31/2000 48,275.86 32,838.07 29,378
6/30/2000 49,615.08 35,357.70 30,102
7/31/2000 48,964.60 33,787.61 29,632
8/31/2000 52,561.38 36,887.69 31,472
9/30/2000 50,291.07 33,367.02 29,811
10/31/2000 48,020.77 31,802.57 29,685
11/30/2000 40,329.79 27,105.20 27,344
12/31/2000 40,288.56 26,231.11 27,478
1/31/2001 42,178.27 28,042.56 28,453
2/28/2001 34,150.79 23,269.35 25,859
3/31/2001 30,613.26 20,730.24 24,221
4/30/2001 35,586.97 23,351.69 26,103
5/31/2001 34,634.56 22,995.15 26,278
6/30/2001 33,289.09 22,456.10 25,638
7/31/2001 31,338.91 21,876.49 25,386
8/31/2001 28,239.79 20,073.97 23,796
9/30/2001 25,488.37 18,058.51 21,875
10/31/2001 25,866.32 18,997.08 22,292
11/30/2001 27,574.61 20,806.91 24,002
12/31/2001 28,127.61 20,749.71 24,213
1/31/2002 27,202.66 20,375.74 23,874
2/28/2002 25,398.24 19,511.38 23,413
3/31/2002 26,580.97 20,175.35 24,294
4/30/2002 24,412.64 18,522.11 22,821
5/31/2002 23,927.42 18,060.92 22,653
6/30/2002 21,637.79 16,374.41 21,039
7/31/2002 19,969.84 15,465.44 19,399
8/31/2002 20,060.82 15,499.51 19,526
9/30/2002 18,832.61 13,874.23 17,404
10/31/2002 20,060.82 15,136.88 18,936
11/30/2002 21,228.38 15,943.63 20,051
12/31/2002 19,757.56 14,822.54 18,862
1/31/2003 19,530.11 14,452.21 18,368
2/28/2003 19,181.36 14,366.63 18,092
3/31/2003 19,712.07 14,620.12 18,268
4/30/2003 21,304.20 15,692.15 19,773
5/31/2003 22,759.86 16,459.96 20,814
6/30/2003 23,245.08 16,667.23 21,080
7/31/2003 23,745.46 17,072.42 21,452
8/31/2003 24,458.13 17,480.47 21,870
9/30/2003 23,912.26 17,276.86 21,638
10/31/2003 25,322.43 18,231.66 22,862
11/30/2003 25,656.02 18,404.86 23,063
12/31/2003 26,762.92 19,018.96 24,273
1/31/2004 27,399.78 19,399.84 24,718
2/29/2004 27,809.18 19,498.81 25,061
3/31/2004 28,324.73 19,122.41 24,683
4/30/2004 27,521.08 18,891.62 24,296
5/31/2004 28,552.17 19,223.00 24,629
6/30/2004 29,113.21 19,442.83 25,108
7/31/2004 26,793.25 18,333.89 24,276
8/31/2004 26,171.56 18,219.10 24,374
9/30/2004 27,354.29 18,380.12 24,638
10/31/2004 27,566.57 18,656.34 25,015
11/30/2004 28,627.99 19,272.46 26,027
12/31/2004 29,886.53 20,013.11 26,913
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/SELECT VALUE FUND
(FORMERLY THE JNL/PPM AMERICA VALUE FUND)*
[INSERT LOGO] WELLINGTON MANAGEMENT COMPANY, LLP
MS. KAREN H. GRIMES
OBJECTIVE:
JNL/Select Value Fund seeks as its investment objective long term growth of
capital
MONEY MANAGER COMMENTARY:
Since inception of Wellington Management as the Fund's subadviser on October 04,
2004, Fund's Class A shares returned 7.5%, trailing the Russell 1000 Value Index
return of 8.6%. For the full year, the Fund returned 14.77% vs. 13.70% for the
Russell 1000 Value Index and 15.60% for the S&P 400 Barra Value Index.
US equity markets moved substantially higher since inception of the portfolio as
US political uncertainty was resolved, economic fundamentals improved, and
energy prices corrected. These factors largely offset concerns over the prospect
of decelerating earnings growth and a flattening yield curve.
In the Fund, positive performance from holdings in the Energy and Industrials
sectors was more than offset by weak results from holdings in the Materials,
Financials, and Consumer Staples sectors.
Individual stocks that contributed the most to relative results during the
period were Caterpillar (21%), Anthem (26%), Rockwell Automation (19%), and
Wellpoint Health (13%). Performance was negatively impacted during the quarter
by our holdings in Pfizer (-7%), National City (-4%) and Alcoa (-3%).
As we begin 2005, we look for US and global economic growth to decelerate to the
3% level, with a bias to the downside. The war in Iraq continues with no
perceptible decline in insurgent activity, and the Asian tsunami placed a somber
tone on the New Year. Commodity price increases have stalled in the near term,
as Chinese economic growth has moderated. We continue to monitor energy closely,
and we expect oil and natural gas prices to fall further. They are not yet at
levels that would be stimulative to the US economy on a comparative basis. US
employment continues to grow, though at a disappointing rate.
Investors exploited much of the risk-based opportunity in the market during
2004, which leads us to focus on long cycle laggards with long-term growth
opportunities and better relative valuations. We continue to find opportunities
in several areas, particularly those dependent on capital spending. Corporate
balance sheets are flush with liquidity, and the ratio of capital spending to
cash flow is well below average.
AVERAGE ANNUAL TOTAL RETURN
1 year 14.77%
Since inception 26.40%
(Inception date September 30, 2002).
*Prior to 10/04/2004, the Fund was managed by PPM America, Inc.
date JNL/Select Value Fund (Class A) Russell 1000 Value Index S&P 500 Barra Value Index
9/30/2002 10,000.00 10,000.00 10,000.00
10/31/2002 10,620.00 10,830.82 10,831.45
11/30/2002 11,450.00 11,462.84 11,592.34
12/31/2002 10,970.00 10,813.98 10,989.88
1/31/2003 10,670.00 10,551.98 10,689.10
2/28/2003 10,350.00 10,388.69 10,397.96
3/31/2003 10,390.00 10,495.77 10,384.69
4/30/2003 11,370.00 11,343.18 11,411.39
5/31/2003 12,280.00 11,990.08 12,251.37
6/30/2003 12,450.00 12,147.90 12,340.93
7/31/2003 12,770.00 12,389.93 12,614.98
8/31/2003 13,030.00 12,641.31 12,887.78
9/30/2003 12,850.00 12,511.88 12,654.52
10/31/2003 13,780.00 13,245.94 13,519.60
11/30/2003 13,950.00 13,404.63 13,641.05
12/31/2003 14,787.36 14,046.50 14,483.75
1/31/2004 15,069.03 13,956.33 14,739.94
2/29/2004 15,300.39 14,226.05 15,072.94
3/31/2004 15,209.86 14,075.25 14,968.59
4/30/2004 15,008.67 13,706.12 14,597.84
5/31/2004 15,159.56 13,815.52 14,766.47
6/30/2004 15,572.00 14,115.44 15,087.01
7/31/2004 15,229.98 13,890.92 14,800.34
8/31/2004 15,360.75 14,059.32 14,959.83
9/30/2004 15,622.29 14,246.03 15,243.08
10/31/2004 15,793.31 14,455.33 15,473.28
11/30/2004 16,396.87 15,151.74 16,228.22
12/31/2004 16,971.96 15,622.45 16,756.67
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
[INSERT LOGO] T. ROWE PRICE ASSOCIATES, INC.
INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
JNL/T. Rowe Price Established Growth Fund seeks as its investment objective
long-term growth of capital and increasing dividend income through investment
primarily in common stocks of well-established growth companies.
MONEY MANAGER COMMENTARY:
Large-cap growth stocks posted solid results for the 12-month period ended
December 31, 2004, but once again lagged large-cap value shares. Most stock
market benchmarks ended the year near their highest levels, thanks in large part
to a fourth-quarter rally triggered by falling oil prices and the U.S.
presidential election concluding without controversy. Within the S&P 500 Index,
the energy (higher oil prices) and utility sectors were strongest; health care
(pharmaceuticals) and information technology were weakest but posted positive
returns.
The Fund's Class A shares (9.89%) modestly underperformed the S&P 500 Index
(10.88%) and outperformed the style-specific Russell 1000 Growth Index (5.23%)
and the Lipper Large-Cap Growth Funds Index (7.45%) for the year. Overall,
sector allocation decisions (overweighting information technology,
underweighting energy, and not owning utilities) detracted from relative
results. However, stock selection in the health care, materials, and information
technology sectors offset all of the ground lost to the S&P 500 from sector
allocation.
The health care sector was the best contributor to relative performance. Among
our health care services providers, both UnitedHealth Group (the portfolio's
third-largest holding) and WellPoint (merged with Anthem in the fourth quarter
and is now the nation's largest health insurer) trended steadily higher.
Additionally, we benefited from underweighting pharmaceuticals (avoiding Merck,
eliminating Eli Lilly, and underweighting Pfizer), which aided our comparison
with the benchmark. The materials sector was the second-best relative
contributor driven by good stock selection and strong global demand for steel.
The Fund's overweight in Nucor was the main driver of relative performance
within the sector.
Rising oil prices benefited the energy sector, but stock selection and an
underweight allocation hampered the Fund's performance versus the S&P 500.
Schlumberger, for example, posted solid gains but detracted from relative
results because it did not perform as well as other holdings in the group.
Financials were relative performance detractors for 2004, largely due to stock
selection. The Fund is significantly overweight in capital markets-State Street
and Mellon Financial were large detractors-and underweight in commercial banks,
which benefited from consolidation in early 2004. On a brighter note, capital
markets rebounded strongly in the final quarter, benefiting from reinvigorated
IPO and merger activity and stronger economic growth. Insurance holdings were
generally weak performers for the past 12 months.
The economy improved from its summer "soft patch" and we believe the trend
should continue, contributing to a sustained enterprise spending recovery and a
healthy environment for equities. We are also encouraged by the solid
fundamentals underpinning the large-cap growth segment of the market. We hope
that investors will increasingly focus on long-term equity ownership, and
believe that companies with sustainable earnings and cash flow growth will be
afforded higher prices.
AVERAGE ANNUAL TOTAL RETURN
1 year 9.89%
5 year -0.32%
Since inception 11.88%
(Inception date May 15, 1995).
JNL/T.Rowe Price
date Established Growth Fund (Class A) S&P 500 Index
05/15/1995 10,000.00 10,000.00
05/31/1995 10,230.00 10,130.00
06/30/1995 10,760.00 10,356.00
07/31/1995 11,210.00 10,694.00
08/31/1995 11,230.00 10,726.00
09/30/1995 11,720.00 11,179.00
10/31/1995 11,570.00 11,139.00
11/30/1995 11,820.00 11,627.00
12/31/1995 12,145.59 11,851.00
01/31/1996 12,766.41 12,254.00
02/29/1996 12,834.14 12,368.00
03/31/1996 12,822.85 12,487.00
04/30/1996 13,116.33 12,671.00
05/31/1996 13,387.24 12,996.00
06/30/1996 13,375.95 13,046.00
07/31/1996 12,879.29 12,469.00
08/31/1996 13,240.50 12,732.00
09/30/1996 14,019.35 13,448.00
10/31/1996 14,166.09 13,819.00
11/30/1996 15,080.39 14,862.00
12/31/1996 14,889.64 14,568.00
01/31/1997 15,589.08 15,477.04
02/28/1997 15,612.78 15,597.76
03/31/1997 14,948.92 14,958.26
04/30/1997 15,636.49 15,849.77
05/31/1997 16,691.57 16,813.43
06/30/1997 17,509.55 17,566.68
07/31/1997 18,706.89 18,963.23
08/31/1997 17,711.09 17,901.29
09/30/1997 18,730.60 18,882.28
10/31/1997 18,185.28 18,251.61
11/30/1997 18,849.15 19,096.66
12/31/1997 19,277.00 19,424.43
01/31/1998 19,597.87 19,639.25
02/28/1998 21,189.89 21,055.75
03/31/1998 22,226.56 22,133.99
04/30/1998 22,399.33 22,417.75
05/31/1998 21,856.32 21,996.30
06/30/1998 22,596.79 22,862.95
07/31/1998 22,374.65 22,620.12
08/31/1998 18,906.76 19,352.80
09/30/1998 19,968.11 20,592.62
10/31/1998 21,621.83 22,266.16
11/30/1998 22,967.03 23,615.11
12/31/1998 24,632.53 24,975.06
01/31/1999 24,955.63 26,019.44
02/28/1999 24,309.44 25,211.07
03/31/1999 25,188.25 26,219.74
04/30/1999 26,041.22 27,235.12
05/31/1999 25,317.49 26,591.99
06/30/1999 26,713.25 28,067.79
07/31/1999 25,950.75 27,191.38
08/31/1999 25,692.28 27,056.91
09/30/1999 25,162.40 26,315.12
10/31/1999 26,687.40 27,980.40
11/30/1999 27,682.52 28,549.21
12/31/1999 29,994.80 30,230.62
01/31/2000 28,944.29 28,711.77
02/29/2000 30,050.09 28,168.23
03/31/2000 32,482.85 30,923.95
04/30/2000 31,404.70 29,993.60
05/31/2000 30,354.19 29,378.20
06/30/2000 32,344.63 30,102.43
07/31/2000 31,888.48 29,631.78
08/31/2000 34,348.89 31,472.32
09/30/2000 32,648.72 29,810.74
10/31/2000 32,220.22 29,684.73
11/30/2000 29,027.23 27,344.42
12/31/2000 29,894.16 27,478.21
01/31/2001 30,835.33 28,453.11
02/28/2001 27,820.39 25,858.67
03/31/2001 25,395.68 24,220.50
04/30/2001 28,059.67 26,102.68
05/31/2001 28,298.95 26,277.59
06/30/2001 27,597.06 25,638.02
07/31/2001 27,038.74 25,385.59
08/31/2001 25,299.97 23,796.45
09/30/2001 23,497.38 21,874.84
10/31/2001 24,406.65 22,291.95
11/30/2001 26,336.85 24,001.92
12/31/2001 26,834.73 24,212.56
01/31/2002 25,891.19 23,873.58
02/28/2002 25,347.46 23,413.21
03/31/2002 26,450.92 24,293.75
04/30/2002 24,931.67 22,820.87
05/31/2002 24,547.86 22,652.75
06/30/2002 22,468.89 21,039.24
07/31/2002 20,805.71 19,399.04
08/31/2002 21,237.50 19,526.32
09/30/2002 19,030.59 17,404.18
10/31/2002 20,821.70 18,936.08
11/30/2002 21,845.19 20,050.62
12/31/2002 20,574.57 18,861.96
1/31/2003 20,206.31 18,367.83
2/28/2003 19,918.11 18,092.24
3/31/2003 20,206.31 18,267.91
4/30/2003 21,887.50 19,772.72
5/31/2003 23,104.36 20,814.48
6/30/2003 23,472.62 21,079.91
7/31/2003 23,920.94 21,451.63
8/31/2003 24,321.23 21,869.92
9/30/2003 24,049.03 21,637.81
10/31/2003 25,217.86 22,861.67
11/30/2003 25,538.09 23,062.80
12/31/2003 26,857.91 24,272.52
1/31/2004 27,338.37 24,718.01
2/29/2004 27,578.60 25,061.47
3/31/2004 27,258.30 24,683.39
4/30/2004 26,697.76 24,295.84
5/31/2004 27,114.16 24,629.28
6/30/2004 27,498.53 25,108.36
7/31/2004 26,137.21 24,276.12
8/31/2004 26,089.17 24,374.39
9/30/2004 26,585.65 24,638.25
10/31/2004 27,034.08 25,014.72
11/30/2004 28,411.41 26,026.74
12/31/2004 29,512.78 26,912.58
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
[INSERT LOGO] T. ROWE PRICE ASSOCIATES, INC.
INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
JNL/T.Rowe Price Mid-Cap Growth Fund seeks as its investment objective long-term
growth of capital by investing primarily in the common stock of companies with
medium-sized market capitalizations ("mid-cap") and the potential for above
average growth.
MONEY MANAGER COMMENTARY:
The Fund's A Shares posted a strong gain for the 12 months ended December 31,
2004 of 18.03%, outpacing the S&P MidCap 400 Index, which returned 16.49%. Stock
selection was the primary reason for the good performance relative to the
benchmark, while sector weightings hampered results.
After beginning the year on a strong note, stocks struggled to make headway as
economic growth moderated amid rising short-term interest rates and surging
energy costs. Stock prices rebounded as oil backed away from its late-October
peak, and by year-end, several major indexes were at or near their highest
levels of the year. Mid-cap shares outperformed their larger counterparts, and
value outperformed growth across all market capitalizations. Utilities,
materials, energy, and financials stocks were among the leaders, while the
technology sector was essentially flat for the year.
Stock selection in the information technology, energy, and industrials and
business services sectors aided relative performance in the period. While the
technology sector was generally weak, our holdings did well, driven by strong
absolute and relative performances in communications and electronic equipment
companies, including Harris and Research In Motion, and in our software
holdings, including McAfee and Adobe Systems. Stock selection in semiconductors
weighed on relative results, but we focus on higher-quality names, initiating a
position in Xilinx and adding to positions such as Novellus, Microchip
Technology, and Intersil as valuations look reasonable. Energy stocks were
strong performers throughout the year and our overweight combined with good
stock selection in equipment and services and oil and gas companies benefited
relative performance. Companies leveraged to improving economic activity, such
as industrials and business services names posted solid gains. Employment
services, logistics, machinery, and traditional industrial stocks were key
contributors.
Detractors from relative performance included the health care, consumer
discretionary, and financials sectors. Within health care, weak stock selection
in health care services, including Omnicare and Health Management, and our
positioning in generic pharmaceuticals, where a number of companies had earnings
misses, weighed on relative results. The consumer discretionary sector turned in
solid performance over the period, but questions about the sustainability of
consumer spending hampered retailers. Leisure equipment, hotels, and specialty
retailers were our best performers in the sector, though an underweight in
household durables and stock selection in retail caused the sector to be a
relative detractor. As interest rates remain relatively low by historical
standards, the financials sector continued to do well. Our holdings in consumer
finance and capital markets, combined with lack of exposure to commercial banks
and real estate, detracted most from relative performance.
The earnings growth of mid-cap companies has been exceptional, but mid-cap
valuations are now at a premium relative to large-caps. We believe the key to
the mid-cap outperformance cycle (over large-caps) is continued relative
earnings strength. Growth stocks outpaced their value counterparts during the
fourth quarter, but value maintains a significant five-year advantage. Because
of this performance disparity, growth stocks appear attractively valued compared
to historical averages. We believe we are well-positioned for this environment,
as we expect companies with consistent earnings and cash flow growth to be
rewarded.
AVERAGE ANNUAL TOTAL RETURN
1 year 18.03%
5 year 6.15%
Since inception 14.95%
(Inception date May 15, 1995).
date JNL/T.Rowe Price Mid-Cap Growth Fund (Class A) S&P MidCap 400 Index Russell Midcap Index
5/15/1995 10,000.00 10,000.00 10,000.00
5/31/1995 10,020.00 10,009.00 10,028.13
6/30/1995 10,740.00 10,417.00 10,344.54
7/31/1995 11,460.00 10,959.00 10,833.03
8/31/1995 11,780.00 11,161.00 10,981.36
9/30/1995 12,230.00 11,432.00 11,208.99
10/31/1995 12,120.00 11,138.00 10,944.09
11/30/1995 12,580.00 11,622.00 11,467.30
12/31/1995 12,921.52 11,593.00 11,515.16
1/31/1996 12,921.52 11,761.00 11,744.97
2/29/1996 13,672.41 12,160.00 11,998.90
3/31/1996 14,006.13 12,306.00 12,148.69
4/30/1996 14,433.72 12,683.00 12,481.18
5/31/1996 14,850.88 12,854.00 12,642.67
6/30/1996 14,496.30 12,661.00 12,436.24
7/31/1996 13,724.55 11,807.00 11,648.16
8/31/1996 14,548.44 12,489.00 12,173.55
9/30/1996 15,236.75 13,034.00 12,757.77
10/31/1996 15,007.32 13,072.00 12,845.82
11/30/1996 15,737.35 13,807.00 13,604.68
12/31/1996 15,954.83 12,823.00 13,443.91
1/31/1997 16,094.13 13,303.86 13,933.86
2/28/1997 15,847.68 13,194.77 13,886.72
3/31/1997 14,904.75 12,632.67 13,276.21
4/30/1997 15,001.18 12,959.86 13,586.03
5/31/1997 16,372.72 14,092.55 14,552.42
6/30/1997 16,929.91 14,488.55 15,005.83
7/31/1997 17,819.26 15,921.47 16,231.25
8/31/1997 17,819.26 15,902.36 16,029.94
9/30/1997 18,901.49 16,816.75 16,917.77
10/31/1997 17,947.84 16,085.22 16,246.96
11/30/1997 18,065.71 16,323.28 16,605.01
12/31/1997 18,860.33 17,994.00 17,029.94
1/31/1998 18,882.04 17,651.52 16,692.33
2/28/1998 20,630.18 19,113.60 17,971.84
3/31/1998 21,900.57 20,011.93 18,800.48
4/30/1998 21,857.13 20,376.61 18,827.16
5/31/1998 20,934.20 19,440.60 18,219.57
6/30/1998 21,998.29 19,545.58 18,440.97
7/31/1998 21,031.93 18,787.52 17,550.59
8/31/1998 16,916.75 15,293.12 14,719.75
9/30/1998 18,035.12 16,720.17 15,626.57
10/31/1998 19,663.82 18,211.69 16,683.19
11/30/1998 20,467.31 19,120.52 17,451.92
12/31/1998 22,913.72 21,428.83 18,446.80
1/31/1999 23,261.40 20,592.31 18,402.96
2/28/1999 21,769.71 19,514.00 17,759.92
3/31/1999 22,745.48 20,059.26 18,289.70
4/30/1999 23,553.01 21,641.48 19,627.66
5/31/1999 24,282.03 21,735.31 19,547.29
6/30/1999 25,504.55 22,899.17 20,209.34
7/31/1999 25,583.06 22,408.51 19,635.35
8/31/1999 24,248.39 21,640.24 19,096.06
9/30/1999 23,676.38 20,972.12 18,397.13
10/31/1999 24,573.64 22,040.81 19,254.64
11/30/1999 25,549.41 23,197.56 19,776.02
12/31/1999 28,415.01 24,576.05 21,485.91
1/31/2000 27,204.59 23,883.77 20,760.65
2/29/2000 29,217.97 25,555.51 22,333.17
3/31/2000 31,219.36 27,694.33 23,562.25
4/30/2000 29,697.34 26,726.25 22,440.95
5/31/2000 29,026.22 26,394.71 21,806.68
6/30/2000 29,984.97 26,782.32 22,415.37
7/31/2000 29,529.56 27,205.48 22,157.05
8/31/2000 32,681.46 30,243.02 24,243.27
9/30/2000 31,686.75 30,035.95 23,861.46
10/31/2000 31,423.10 29,017.49 23,481.85
11/30/2000 28,247.23 26,827.13 21,336.81
12/31/2000 30,450.59 28,879.54 22,930.88
1/31/2001 31,657.19 29,523.93 23,281.26
2/28/2001 29,243.98 27,839.03 21,833.33
3/31/2001 26,389.64 25,769.37 20,451.17
4/30/2001 29,905.67 28,612.09 22,186.27
5/31/2001 30,294.90 29,278.43 22,561.53
6/30/2001 30,268.95 29,160.15 22,324.05
7/31/2001 29,905.67 28,725.75 21,666.02
8/31/2001 28,283.89 27,786.19 20,799.75
9/30/2001 24,754.89 24,329.92 18,264.49
10/31/2001 26,259.90 25,406.91 18,970.38
11/30/2001 28,530.40 27,297.36 20,530.10
12/31/2001 29,996.49 28,705.85 21,319.28
1/31/2002 28,971.52 28,547.97 21,176.06
2/28/2002 28,231.99 28,583.02 20,924.70
3/31/2002 30,165.15 30,626.34 22,150.13
4/30/2002 29,334.80 30,483.13 21,705.11
5/31/2002 29,269.93 29,969.03 21,429.26
6/30/2002 26,752.92 27,775.45 19,968.54
7/31/2002 23,794.79 25,084.45 18,001.42
8/31/2002 23,626.13 25,210.95 18,073.03
9/30/2002 21,524.30 23,179.96 16,382.49
10/31/2002 22,990.39 24,184.16 17,191.41
11/30/2002 24,612.17 25,582.97 18,354.00
12/31/2002 23,418.54 24,544.41 17,600.62
1/31/2003 23,029.31 23,827.22 17,232.33
2/28/2003 22,601.16 23,259.70 16,975.48
3/31/2003 23,081.21 23,455.87 17,115.41
4/30/2003 24,845.71 25,158.37 18,342.67
5/31/2003 26,986.46 27,243.72 19,988.63
6/30/2003 27,687.07 27,590.54 20,163.63
7/31/2003 28,776.91 28,570.00 20,808.51
8/31/2003 29,814.85 29,865.45 21,680.26
9/30/2003 28,867.73 29,408.27 21,378.84
10/31/2003 31,112.28 31,632.18 22,990.82
11/30/2003 31,799.91 32,734.41 23,602.08
12/31/2003 32,457.63 33,286.73 24,267.05
1/31/2004 33,174.85 34,007.79 24,955.38
2/29/2004 33,709.51 34,824.83 25,458.85
3/31/2004 33,526.95 34,972.35 25,427.06
4/30/2004 33,096.61 33,824.48 24,474.18
5/31/2004 33,970.32 34,526.24 25,043.79
6/30/2004 34,922.27 35,311.92 25,697.78
7/31/2004 32,848.84 33,664.58 24,552.74
8/31/2004 32,640.20 33,576.62 24,620.70
9/30/2004 34,113.76 34,571.19 25,383.58
10/31/2004 35,157.00 35,123.88 26,060.61
11/30/2004 37,008.74 37,215.61 27,605.71
12/31/2004 38,311.30 38,774.39 28,725.54
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL/T.ROWE PRICE VALUE FUND
[INSERT LOGO] T. ROWE PRICE ASSOCIATES, INC.
INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
The JNL/T.Rowe Price Value Fund seeks as its investment objective to provide
long-term capital appreciation by investing in common stocks believed to be
undervalued. Income is a secondary objective.
MONEY MANAGER COMMENTARY:
The Fund's A Class shares posted strong results for the 12-month period ended
December 31, 2004 of 15.12% vs. 13.70% for the Russell 1000 Value Index.
U.S. stocks rose moderately in 2004, extending the previous year's brisk gains.
After beginning the year on a strong note, stocks struggled to make headway as
economic growth moderated amid rising short-term interest rates, surging energy
costs, and a heated presidential campaign. Stock prices rose as oil prices
backed away from their late-October peak of $55 per barrel, and gains
accelerated following the re-election of President Bush. By year-end, several
major indexes were at or near their highest levels of the year. Small- and
mid-cap shares outperformed their larger counterparts. As measured by various
Russell indexes, growth stocks lagged value across all market capitalizations.
In the large-cap universe, energy stocks far surpassed other sectors, but
utilities, telecommunication services, and industrials companies also performed
well. Health care and information technology stocks produced only slight gains.
Several of the fund's industrials performed well due to a rebound in economic
activity. CNF, a supply chain management company, was the beneficiary of strong
demand and pricing rates in the trucking industry. Rockwell Collins benefited
from a bounce back in the commercial aerospace market, while Tyco International
recovered from its corporate scandal as investors became more comfortable with
the operations of the business. The strong world economy also benefited
steelmaker Nucor, which was also helped by the weak dollar. Amerada Hess surged
in the early part of the year as oil prices rose and as the company took steps
to revitalize its asset portfolio and restore credibility with investors.
Finally, Sprint benefited from strong growth in its wireless unit and the
apparent stabilization of the long-distance market. In addition, the company's
announced acquisition of Nextel is likely to result in significant cost
synergies and unlock hidden value at each entity.
Stock selection in the consumer staples sector detracted from results relative
to the benchmark. Coca-Cola, a new position added late in the third quarter
following its profit warning, lagged as it became clear that the new CEO's
initial upbeat assessment of the company's prospects was incorrect. While
several of our health care holdings performed well, our overweight position in
the lagging index detracted from our relative results. Pharmaceutical stocks
were hurt by limited growth prospects, continued generic competitive pressures,
and more recently by safety issues surrounding pain medications.
We are cautious on the markets heading into 2005. The market is fairly valued,
and the corporate profit outlook appears to be moderating. Corporate profits
have reached record levels over the past year, and further growth will likely be
pressured by sustained energy prices and higher short-term interest rates.
Additionally, the trade deficit and budget deficit, along with the country's
involvement in Iraq make for a tougher environment. Despite these headwinds, we
continue to view the economic situation as favorable, corporate balance sheets
as strong with healthy levels of cash, and stocks as prepared to benefit from
the continuation of favorable tax treatments for dividends and capital gains.
AVERAGE ANNUAL TOTAL RETURN
1 year 15.12%
Since inception 7.65%
(Inception date May 1, 2000).
date JNL/T.Rowe Price Value Fund (Class A) Russell 1000 Value Index
5/1/2000 10,000.00 10,000.00
5/31/2000 10,160.00 9,975.14
6/30/2000 9,650.00 9,492.08
7/31/2000 9,740.00 9,605.62
8/31/2000 10,370.00 10,119.36
9/30/2000 10,210.00 10,196.93
10/31/2000 10,780.00 10,436.34
11/30/2000 10,600.00 10,027.69
12/31/2000 11,253.68 10,517.09
1/31/2001 11,799.19 10,542.30
2/28/2001 11,526.44 10,228.14
3/31/2001 11,102.15 9,856.68
4/30/2001 11,718.38 10,327.22
5/31/2001 12,031.54 10,537.20
6/30/2001 11,738.58 10,292.49
7/31/2001 11,698.17 10,256.70
8/31/2001 11,374.91 9,822.66
9/30/2001 10,192.97 9,119.76
10/31/2001 10,243.48 9,028.09
11/30/2001 11,112.26 9,531.77
12/31/2001 11,340.93 9,739.63
1/31/2002 11,289.89 9,648.84
2/28/2002 11,371.56 9,644.26
3/31/2002 11,902.36 10,088.53
4/30/2002 11,453.22 9,729.06
5/31/2002 11,555.30 9,757.62
6/30/2002 10,595.76 9,183.24
7/31/2002 9,462.69 8,314.44
8/31/2002 9,605.60 8,354.46
9/30/2002 8,595.02 7,412.32
10/31/2002 9,074.79 7,942.44
11/30/2002 9,942.46 8,418.63
12/31/2002 9,431.59 8,036.06
1/31/2003 9,145.16 7,826.97
2/28/2003 8,756.44 7,597.78
3/31/2003 8,746.21 7,595.84
4/30/2003 9,533.88 8,247.79
5/31/2003 10,178.34 8,757.47
6/30/2003 10,311.33 8,852.50
7/31/2003 10,526.15 8,963.74
8/31/2003 10,894.41 9,082.92
9/30/2003 10,700.05 8,977.85
10/31/2003 11,364.96 9,506.75
11/30/2003 11,487.72 9,613.23
12/31/2003 12,258.49 10,184.27
1/31/2004 12,495.02 10,344.87
2/29/2004 12,731.55 10,544.80
3/31/2004 12,453.89 10,433.02
4/30/2004 12,371.62 10,159.41
5/31/2004 12,474.46 10,240.50
6/30/2004 12,844.68 10,462.81
7/31/2004 12,525.88 10,296.39
8/31/2004 12,556.73 10,421.21
9/30/2004 12,762.41 10,559.61
10/31/2004 12,937.23 10,714.75
11/30/2004 13,554.27 11,230.95
12/31/2004 14,112.45 11,579.85
Past performance is not predictive of future performance. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be more or less than their original cost. Performance numbers are net of all
Fund operating expenses, but do not reflect the deduction of insurance charges.
JNL SERIES TRUST
SCHEDULES OF INVESTMENTS (IN THOUSANDS)
DECEMBER 31, 2004
JNL/AIM LARGE CAP GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Cyclical 23.5%
Consumer, Non-cyclical 22.5%
Technology 13.6%
Industrial 13.4%
Communications 11.7%
Financial 8.8%
Energy 3.1%
Money Market Investment 2.4%
Basic Materials 1.0%
100.0%
Common Stocks - 97.6%
Aerospace & Defense - 4.2%
Boeing Co. 40 $ 2,086
General Dynamics Corp. 20 2,050
Northrop Grumman Corp. 21 1,158
Rockwell Collins Inc. 33 1,290
United Technologies Corp. 13 1,354
7,938
Apparel - 2.7%
Coach Inc. (b) 24 1,354
NIKE Inc. 42 3,845
5,199
Auto Manufacturers - 0.8%
PACCAR Inc. 19 1,521
Beverages - 1.6%
PepsiCo Inc. 60 3,127
Building Materials - 1.2%
Masco Corp. 64 2,353
Commercial Services - 1.8%
Accenture Ltd. (b) 127 3,421
Computers - 6.3%
Computer Sciences Corp. (b) 43 2,424
Dell Inc. (b) 171 7,185
Lexmark International Inc. (b) 13 1,122
NCR Corp. (b) 19 1,308
12,039
Cosmetics & Personal Care - 5.5%
Gillette Co. 126 5,629
Procter & Gamble Co. 88 4,863
10,492
Distribution & Wholesale - 1.0%
W.W. Grainger Inc. 30 1,999
Diversified Financial Services - 7.4%
American Express Co. (l) 21 1,178
Bear Stearns Cos. Inc. 15 1,483
Capital One Financial Corp. 17 1,448
Countrywide Financial Corp. 91 3,372
Doral Financial Corp. 25 1,231
MBNA Corp. 44 1,252
SLM Corp. 79 4,229
14,193
Electronics - 0.7%
Waters Corp. (b) 28 1,315
Hand & Machine Tools - 1.0%
Black & Decker Corp. 22 1,943
Healthcare - 12.8%
Alcon Inc. 46 3,692
Becton Dickinson & Co. 61 3,442
C.R. Bard Inc. 23 1,497
Johnson & Johnson 115 7,293
Quest Diagnostics Inc. 22 2,121
UnitedHealth Group Inc. 54 4,756
WellPoint Inc. (b) 11 1,312
24,113
Home Furnishings - 2.2%
Harman International Industries Inc. 33 4,191
Household Products - 1.0%
Fortune Brands Inc. 24 1,860
Insurance - 0.8%
Allstate Corp. 30 1,526
Internet - 6.8%
eBay Inc. (b) 28 3,244
McAfee Inc. (b) 36 1,041
Symantec Corp. (b) 185 4,776
Yahoo! Inc. (b) (l) 105 3,954
13,015
Iron & Steel - 1.0%
Nucor Corp. (l) 35 1,853
Leisure Time - 1.9%
Harley-Davidson Inc. 59 3,609
Lodging - 0.6%
Marriott International Inc. - Class A 19 1,190
Machinery - 1.2%
Rockwell Automation Inc. 46 2,264
Manufacturing - 4.5%
Cooper Industries Ltd. - Class A 25 1,690
Danaher Corp. (l) 24 1,395
Eaton Corp. 22 1,570
Illinois Tool Works Inc. 19 1,798
Tyco International Ltd. 59 2,122
8,575
Media - 0.6%
McGraw-Hill Cos. Inc. 13 1,190
Office & Business Equipment - 1.5%
Xerox Corp. (b) (l) 173 2,950
Oil & Gas Producers - 3.1%
BP Plc - ADR 33 1,951
ChevronTexaco Corp. 37 1,922
ConocoPhillips 23 1,970
5,843
Retail - 14.2%
Costco Wholesale Corp. 101 4,865
Home Depot Inc. 53 2,252
J.C. Penney Co. Inc. 37 1,532
Limited Brands Inc. 82 1,878
McDonald's Corp. 116 3,703
Nordstrom Inc. 45 2,108
Staples Inc. 145 4,891
Starbucks Corp. (b) 35 2,176
Yum! Brands Inc. 79 3,723
27,128
Savings & Loans - 0.6%
Golden West Financial Corp. 18 1,106
Semiconductors - 0.4%
Intel Corp. 35 816
Software - 5.3%
Adobe Systems Inc. 45 2,848
Autodesk Inc. 62 2,353
Microsoft Corp. 101 2,684
Oracle Corp. (b) 91 1,250
Pixar Inc. (b) 12 1,054
10,189
Telecommunications Equipment - 1.6%
Cisco Systems Inc. (b) 163 3,146
Transportation - 0.7%
FedEx Corp. 13 1,280
Wireless Telecommunications - 2.6%
Motorola Inc. 62 1,061
Qualcomm Inc. 91 3,871
4,932
Total Common Stocks (cost $163,914) 186,316
Short Term Investments - 5.4%
Money Market Funds - 2.4%
Dreyfus Cash Management Plus, 1.98% (a) 4,625 4,625
Securities Lending Collateral - 3.0%
Mellon GSL Delaware Business Trust Collateral Fund 5,808 5,808
Total Short Term Investments (cost $10,433) 10,433
Total Investments - 103.0% (cost $174,347) 196,749
Other Assets and Liabilities, Net - (3.0)% (5,722)
Total Net Assets - 100% $ 191,027
JNL/AIM SMALL CAP GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 23.8%
Consumer, Cyclical 21.7%
Industrial 15.6%
Technology 13.2%
Financial 7.5%
Communications 7.5%
Energy 4.8%
Money Market Investment 2.3%
Basic Materials 1.9%
Diversified 1.5%
Government 0.2%
100.0%
Common Stocks - 95.4%
Aerospace & Defense - 0.9%
United Industrial Corp. (l) 10 $ 399
Airlines - 0.4%
Airtran Holdings Inc. (b) 16 168
Apparel - 1.4%
Oxford Industries Inc. 8 310
Quiksilver Inc. (b) 11 327
637
Banks - 4.6%
East-West Bancorp. Inc. 9 369
PrivateBancorp Inc. 8 248
Silicon Valley Bancshares (b) 8 354
Southwest Bancorp. of Texas Inc. 15 340
Texas Regional Bancshares Inc. - Class A 7 219
UCBH Holdings Inc. 6 289
W Holding Co. Inc. 8 173
1,992
Biotechnology - 1.8%
Affymetrix Inc. (b) (l) 9 329
Genencor International Inc. (b) 8 126
Integra LifeSciences Holdings Corp. (b) 9 347
802
Building Materials - 1.5%
Eagle Materials Inc. 5 397
Trex Co. Inc. (b) 6 288
685
Chemicals - 0.4%
Spartech Corp. 6 165
Commercial Services - 5.1%
Advisory Board Co. (b) 5 181
Charles River Associates Inc. (b) 5 253
Corporate Executive Board Co. 5 341
CoStar Group Inc. (b) (l) 9 406
Euronet Worldwide Inc. (b) 15 388
Icon Plc - ADR (b) 6 216
MPS Group Inc. (b) 23 284
Steiner Leisure Ltd. (b) 7 209
2,278
Computers - 3.4%
Anteon International Corp. (b) 8 343
CACI International Inc. - Class A (b) 3 218
Catapult Communications Corp. (b) 8 203
Intergraph Corp. (b) 7 189
Magma Design Automation Inc. (b) (l) 7 92
Mercury Computer Systems Inc. (b) 12 350
PalmOne Inc. (b) (l) 3 104
1,499
Distribution & Wholesale - 1.4%
Hughes Supply Inc. 10 323
ScanSource Inc. (b) 5 280
603
Diversified Financial Services - 1.6%
Affiliated Managers Group Inc. (b) (l) 4 291
Jefferies Group Inc. 6 238
Piper Jaffray Cos. (b) 4 173
702
Electronics - 6.1%
Cymer Inc. (b) 11 331
Daktronics Inc. (b) 7 174
FEI Co. (b) 7 155
Flir Systems Inc. (b) 6 395
Ii-Vi Inc. (b) 7 276
Imax Corp. (b) (l) 25 203
Keithley Instruments Inc. 10 203
Trimble Navigation Ltd. (b) 14 462
Varian Inc. (b) 7 303
Woodward Governor Co. 3 222
2,724
Entertainment - 3.2%
Lions Gate Entertainment Corp. (b) 34 365
Macrovision Corp. (b) 13 327
Penn National Gaming Inc. (b) 6 381
Shuffle Master Inc. (b) (l) 7 347
1,420
Environmental Control - 0.7%
Stericycle Inc. (b) 7 326
Food - 0.9%
United Natural Foods Inc. (b) 12 383
Healthcare - 9.8%
American Healthways Inc. (b) (l) 6 192
American Medical Systems Holdings Inc. (b) 9 355
Amsurg Corp. (b) 8 244
Closure Medical Corp. (b) 8 154
Covance Inc. (b) 6 225
Gen-Probe Inc. (b) 8 366
Immucor Inc. (b) 16 368
Intuitive Surgical Inc. (b) 9 372
LifePoint Hospitals Inc. (b) (l) 9 327
Mentor Corp. 11 354
NuVasive Inc. (b) 11 112
Pediatrix Medical Group Inc. (b) 3 218
Renal Care Group Inc. (b) 7 234
ResMed Inc. (b) (l) 5 240
Techne Corp. (b) 5 199
Vnus Medical Technologies Inc. (b) (l) 3 39
Wright Medical Group Inc. (b) 13 359
4,358
Home Builders - 1.0%
Beazer Homes USA Inc. (l) 3 439
Household Products - 1.9%
Fossil Inc. (b) 8 216
Scotts Co. - Class A (b) 5 375
Toro Co. 3 244
835
Insurance - 1.4%
Assured Guaranty Ltd. 8 155
HCC Insurance Holdings Inc. 7 222
ProAssurance Corp. (b) 6 231
608
Internet - 4.4%
Digital River Inc. (b) 4 171
Internet Security Systems Inc. (b) 16 367
Macromedia Inc. (b) 14 442
RSA Security Inc. (b) (l) 16 311
Sina Corp. (b) 5 160
Websense Inc. (b) 10 482
1,933
Iron & Steel - 1.6%
Cleveland-Cliffs Inc. 3 353
Steel Dynamics Inc. 9 337
690
Leisure Time - 0.8%
Nautilus Group Inc. 15 360
Lodging - 1.4%
Choice Hotels International Inc. 6 336
Kerzner International Ltd. (b) 4 265
601
Machinery - 2.1%
Cognex Corp. 4 100
Graco Inc. 7 243
IDEX Corp. (l) 6 251
JLG Industries Inc. (l) 17 342
936
Manufacturing - 0.6%
Actuant Corp. - Class A (b) 5 271
Media - 0.6%
Radio One Inc. (b) 7 106
Radio One Inc. - Class D (b) 11 181
287
Oil & Gas Producers - 2.9%
Grey Wolf Inc. (b) 38 197
Harvest Natural Resources Inc. (b) 13 230
Patterson-UTI Energy Inc. 11 212
Quicksilver Resources Inc. (b) (l) 8 280
Range Resources Corp. 2 43
Unit Corp. (b) 9 325
1,287
Oil & Gas Services - 1.8%
CAL Dive International Inc. (b) 8 342
Core Laboratories NV (b) 7 156
FMC Technologies Inc. (b) 10 313
811
Pharmaceuticals - 4.7%
Accredo Health Inc. (b) 13 349
Amylin Pharmaceuticals Inc. (b) 10 238
Eyetech Pharmaceuticals Inc. (b) 6 287
First Horizon Pharmaceutical Corp. (b) 14 318
Medicis Pharmaceutical Corp. - Class A (l) 2 56
MGI Pharma Inc. (b) (l) 11 317
United Therapeutics Corp. (b) 5 230
VCA Antech Inc. (b) 15 294
2,089
Retail - 10.3%
Aeropostale Inc. (b) 9 259
Bebe Stores Inc. 13 360
Coldwater Creek Inc. (b) 7 227
GameStop Corp. (b) 16 360
Guitar Center Inc. (b) 7 364
Insight Enterprises Inc. (b) 13 263
Jos. A. Banks Clothiers Inc. (b) (l) 12 332
MSC Industrial Direct Co. Inc. 11 396
Pacific Sunwear of California (b) 8 171
Panera Bread Co. - Class A (b) (l) 8 335
PF Chang's China Bistro Inc. (b) (l) 7 406
Rare Hospitality International Inc. (b) 12 371
Regis Corp. 7 337
Sonic Corp. (b) 13 386
4,567
Semiconductors - 4.5%
Artisan Components Inc. (b) 10 358
Formfactor Inc. (b) 12 334
Integrated Circuit Systems Inc. (b) 6 134
Microsemi Corp. (b) 24 422
Pixelworks Inc. (b) 13 142
Power Integrations Inc. (b) 6 113
Semtech Corp. (b) 16 348
Varian Semiconductor Equipment Associates Inc. (b) 5 165
2,016
Software - 5.2%
Activision Inc. (b) 17 345
Avid Technology Inc. (b) 5 315
Cerner Corp. (b) (l) 7 393
Epicor Software Corp. (b) 22 303
Global Payments Inc. (l) 5 316
MicroStrategy Inc. - Class A (b) 6 362
Navteq Corp. (b) 6 269
2,303
Telecommunications Equipment - 2.4%
Applied Signal Technology Inc. 2 63
Plantronics Inc. 6 245
Polycom Inc. (b) 16 373
SafeNet Inc. (b) 10 382
1,063
Toys & Hobbies - 1.1%
Marvel Enterprises Inc. (b) 14 284
RC2 Corp. (b) 7 218
502
Transportation - 3.5%
Forward Air Corp. (b) 7 326
Heartland Express Inc. 11 247
Kirby Corp. (b) 4 195
Knight Transportation Inc. 9 223
Old Dominion Freight Line Inc. (b) 7 254
UTI Worldwide Inc. 4 287
1,532
Total Common Stocks (cost $34,402) 42,271
Mutual Funds - 1.4%
iShares Nasdaq Biotechnology Index Fund (l) 9 641
Total Mutual Funds (cost $629) 641
Short Term Investments - 15.5%
Money Market Funds - 2.3%
Dreyfus Cash Management Plus, 1.98% (a) 1,021 1,021
Securities Lending Collateral - 13.0%
Mellon GSL Delaware Business Trust Collateral Fund 5,753 5,753
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 2.21%, 03/17/05 $100 100
Total Short Term Investments (cost $6,874) 6,874
Total Investments - 112.3% (cost $41,905) 49,786
Other Assets and Liabilities, Net - (12.3)% (5,421)
Total Net Assets - 100% $ 44,365
JNL/ALGER GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Communications 22.8%
Consumer, Non-cyclical 15.7%
Consumer, Cyclical 14.6%
Technology 14.1%
Energy 12.1%
Financial 8.3%
Industrial 8.0%
Basic Materials 1.9%
Government 1.7%
Money Market Investment 0.8%
100.0%
Common Stocks - 97.5%
Apparel - 0.3%
Polo Ralph Lauren Corp. 18 $ 750
Banks - 1.9%
Bank of New York Co. Inc. 87 2,903
Wells Fargo & Co. 42 2,635
5,538
Biotechnology - 1.5%
Biogen Idec Inc. (b) 32 2,152
Genzyme Corp. (b) 37 2,148
4,300
Chemicals - 1.9%
Dow Chemical Co. 112 5,553
Computers - 5.1%
Apple Computer Inc. (b) 116 7,470
EMC Corp. (b) 185 2,749
Research In Motion Ltd. (b) 56 4,644
14,863
Diversified Financial Services - 5.2%
Affiliated Managers Group Inc. (b) (l) 45 3,042
American Express Co. 73 4,092
JPMorgan Chase & Co. 37 1,424
Lehman Brothers Holdings Inc. 26 2,231
MBNA Corp. 78 2,202
T. Rowe Price Group Inc. 46 2,836
15,827
Electronics - 1.3%
Symbol Technologies Inc. (l) 218 3,772
Healthcare - 5.1%
Boston Scientific Corp. (b) 67 2,388
Johnson & Johnson 46 2,943
Pacificare Health Systems Inc. (b) 15 831
UnitedHealth Group Inc. 33 2,874
WellPoint Inc. (b) 50 5,773
14,809
Insurance - 1.0%
Cigna Corp. 36 2,912
Internet - 11.0%
eBay Inc. (b) 80 9,315
Google Inc. (b) (l) 31 6,044
NetFlix Inc. (b) (l) 280 3,449
Symantec Corp. (b) 120 3,102
VeriSign Inc. (b) 64 2,135
Yahoo! Inc. (b) 218 8,221
32,266
Leisure Time - 1.5%
Carnival Corp. (l) 76 4,357
Lodging - 4.6%
Harrah's Entertainment Inc. 22 1,492
Hilton Hotels Corp. 172 3,920
MGM MIRAGE (b) 54 3,921
Starwood Hotels & Resorts Worldwide Inc. 71 4,146
13,479
Manufacturing - 5.2%
Danaher Corp. 25 1,430
General Electric Capital Corp. 160 5,836
Tyco International Ltd. 224 7,990
15,256
Media - 7.2%
Time Warner Inc. (b) 262 5,089
Univision Communications Inc. (b) (l) 82 2,388
Viacom Inc. - Class B 148 5,386
Walt Disney Co. 106 2,938
XM Satellite Radio Holdings Inc. - Class A (b) (l) 137 5,155
20,956
Mining - 1.7%
Peabody Energy Corp. 62 5,000
Oil & Gas Producers - 5.0%
BP Plc - ADR 47 2,742
EOG Resources Inc. 29 2,098
Patterson-UTI Energy Inc. 75 1,449
Sasol Ltd. Sponsored ADR 80 1,743
Transocean Inc. (b) 153 6,490
14,522
Oil & Gas Services - 5.4%
BJ Services Co. 60 2,769
National-Oilwell Inc. (b) (l) 181 6,398
Schlumberger Ltd. 101 6,776
15,943
Pharmaceuticals - 9.1%
Abbott Laboratories 103 4,800
Caremark Rx Inc. (b) 58 2,289
Gilead Sciences Inc. (b) 124 4,328
ImClone Systems Inc. (b) 53 2,456
IVAX Corp. (b) 56 892
OSI Pharmaceuticals Inc. (b) (l) 62 4,659
Sanofi-Synthelabo SA 74 2,956
Sepracor Inc. (b) (l) 73 4,335
26,715
Retail - 8.3%
Bed Bath & Beyond Inc. (b) 74 2,959
CVS Corp. 76 3,446
Federated Department Stores Inc. 39 2,225
Kohl's Corp. (b) 16 767
Lowe's Cos. Inc. 71 4,089
Target Corp. 138 7,190
Wal-Mart Stores Inc. 68 3,586
24,262
Semiconductors - 5.2%
Analog Devices Inc. 99 3,666
Freescale Semiconductor Inc. (b) (l) 159 2,833
Intel Corp. 223 5,219
Linear Technology Corp. 91 3,526
15,244
Software - 3.8%
Automatic Data Processing Inc. 59 2,634
Microsoft Corp. 315 8,415
11,049
Telecommunications - 0.9%
China Netcom Group Corp. (b) 2 52
Sprint Corp. - FON Group 106 2,629
2,681
Telecommunications Equipment - 2.6%
Avaya Inc. (b) 189 3,253
Cisco Systems Inc. (b) 229 4,422
7,675
Transportation - 1.5%
FedEx Corp. 44 4,304
Wireless Telecommunications - 1.2%
Motorola Inc. 201 3,449
Total Common Stocks (cost $256,187) 285,482
Short Term Investments - 13.8%
Money Market Funds - 0.8%
Dreyfus Cash Management Plus, 1.98% (a) 2,235 2,235
Securities Lending Collateral - 11.3%
Mellon GSL Delaware Business Trust Collateral Fund 33,191 33,191
U.S. Government Agencies - 1.7%
Federal Home Loan Mortgage Corp. Discount Note,
2.05%, 02/18/05 $5,000 4,986
Total Short Term Investments (cost $40,412) 40,412
Total Investments - 111.3% (cost $296,599) 325,894
Other Assets and Liabilities, Net - (11.3)% (33,249)
Total Net Assets - 100% $ 292,645
JNL/ALLIANCE CAPITAL GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Communications 24.7%
Technology 22.7%
Consumer, Non-cyclical 20.5%
Financial 14.3%
Consumer, Cyclical 8.6%
Industrial 4.9%
Energy 4.3%
100.0%
Common Stocks - 99.9%
Biotechnology - 3.2%
Amgen Inc. (b) 22 $ 1,418
Computers - 7.7%
Apple Computer Inc. (b) 8 535
Dell Inc. (b) 50 2,090
EMC Corp. (b) 6 91
Network Appliance Inc. (b) 16 515
Research In Motion Ltd. (b) 4 305
3,536
Cosmetics & Personal Care - 3.4%
Avon Products Inc. 23 906
Procter & Gamble Co. 11 627
1,533
Diversified Financial Services - 10.3%
Charles Schwab Corp. 59 707
Citigroup Inc. 23 1,127
Franklin Resources Inc. 10 662
JPMorgan Chase & Co. 20 780
Legg Mason Inc. 2 123
MBNA Corp. 44 1,246
4,645
Food - 0.5%
Whole Foods Market Inc. 2 229
Healthcare - 10.2%
Alcon Inc. 11 846
Boston Scientific Corp. (b) 29 1,045
St. Jude Medical Inc. (b) 27 1,140
UnitedHealth Group Inc. 8 700
WellPoint Inc. (b) 3 368
Zimmer Holdings Inc. (b) 6 466
4,565
Home Builders - 0.8%
Lennar Corp. 3 153
Pulte Homes Inc. 3 185
338
Insurance - 4.0%
AFLAC Inc. 14 545
American International Group Inc. 19 1,235
1,780
Internet - 11.2%
eBay Inc. (b) 17 1,984
Google Inc. (b) (l) 2 444
Symantec Corp. (b) 16 420
Yahoo! Inc. (b) 58 2,174
5,022
Leisure Time - 2.1%
Carnival Corp. 17 951
Manufacturing - 4.1%
General Electric Capital Corp. 36 1,296
Tyco International Ltd. 15 550
1,846
Media - 2.8%
E.W. Scripps Co. 16 758
Time Warner Inc. (b) 25 484
1,242
Oil & Gas Producers - 1.9%
Nabors Industries Ltd. (b) 15 770
XTO Energy Inc. 3 88
858
Oil & Gas Services - 2.4%
Baker Hughes Inc. 10 435
Halliburton Co. 16 628
1,063
Pharmaceuticals - 3.3%
Gilead Sciences Inc. (b) 5 161
Pfizer Inc. 19 503
Teva Pharmaceutical Industries Ltd. - ADR 27 815
1,479
Retail - 5.7%
Lowe's Cos. Inc. 26 1,492
Starbucks Corp. (b) 4 243
Target Corp. 15 789
Wal-Mart Stores Inc. 1 32
2,556
Semiconductors - 7.0%
Altera Corp. (b) 10 201
Applied Materials Inc. (b) 22 374
Broadcom Corp. (b) 25 797
Intel Corp. 3 68
Marvell Technology Group Ltd. (b) (l) 27 954
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 89 755
3,149
Software - 7.8%
Electronic Arts Inc. (b) 26 1,598
Microsoft Corp. 47 1,263
SAP AG - ADR 15 667
3,528
Telecommunications Equipment - 7.6%
Cisco Systems Inc. (b) 46 884
Corning Inc. (b) (l) 110 1,290
Juniper Networks Inc. (b) 46 1,251
3,425
Transportation - 0.8%
United Parcel Service Inc. 4 367
Wireless Telecommunications - 3.1%
Qualcomm Inc. 33 1,399
Total Common Stocks (cost $40,004) 44,929
Warrants - 0.0%
Telecommunications Equipment - 0.0%
Lucent Technologies Inc., Strike Price $2.75,
Expiring 12/10/07 - 1
Total Warrants (cost $0) 1
Short Term Investments - 3.1%
Securities Lending Collateral - 3.1%
Mellon GSL Delaware Business Trust Collateral Fund 1,415 1,415
Total Short Term Investments (cost $1,415) 1,415
Total Investments - 103.0% (cost $41,419) 46,345
Other Assets and Liabilities, Net - (3.0%) (1,375)
Total Net Assets - 100% $ 44,970
JNL/EAGLE CORE EQUITY FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 21.4%
Technology 15.2%
Communications 14.2%
Financial 12.9%
Industrial 12.2%
Consumer, Cyclical 11.5%
Money Market Investment 7.4%
Energy 4.1%
Utilities 0.8%
Basic Materials 0.3%
100.0%
Common Stocks - 91.5%
Advertising - 1.1%
Omnicom Group Inc. 47 $ 3,971
Aerospace & Defense - 1.3%
United Technologies Corp. 45 4,640
Banks - 4.3%
Bank of America Corp. 119 5,573
Bank of New York Co. Inc. 28 936
US Bancorp. 49 1,535
Wachovia Corp. 98 5,144
Wells Fargo & Co. 27 1,678
14,866
Beverages - 1.7%
Anheuser-Busch Cos. Inc. 20 1,015
Coca-Cola Co. 90 3,728
PepsiCo Inc. 24 1,253
5,996
Biotechnology - 1.9%
Amgen Inc. (b) 39 2,524
Chiron Corp. (b) 65 2,178
Genzyme Corp. (b) 35 2,050
6,752
Chemicals - 0.3%
Air Products & Chemicals Inc. 18 1,043
Commercial Services - 0.4%
Accenture Ltd. (b) 51 1,377
Computers - 4.0%
Dell Inc. (b) 294 12,368
EMC Corp. (b) 140 2,077
14,445
Cosmetics & Personal Care - 0.3%
Procter & Gamble Co. 20 1,102
Diversified Financial Services - 4.8%
American Express Co. 89 5,000
Citigroup Inc. 109 5,256
Fannie Mae 23 1,634
Goldman Sachs Group Inc. 23 2,388
JPMorgan Chase & Co. 78 3,032
17,310
Electric - 0.4%
NiSource Inc. 56 1,276
Electrical Components & Equipment - 2.5%
Emerson Electric Co. 127 8,899
Electronics - 0.9%
Symbol Technologies Inc. 177 3,067
Entertainment - 0.1%
DreamWorks Animation SKG Inc. (b) 6 236
Environmental Control - 1.1%
Waste Management Inc. 134 4,009
Food - 1.5%
Dean Foods Co. (b) 41 1,345
General Mills Inc. 34 1,690
Sysco Corp. 57 2,176
5,211
Gas - 0.4%
UGI Corp. 35 1,432
Healthcare - 5.5%
Baxter International Inc. 155 5,347
Guidant Corp. 71 5,126
HCA Inc. 111 4,440
Johnson & Johnson 46 2,889
Zimmer Holdings Inc. (b) 24 1,955
19,757
Home Furnishings - 0.5%
Tempur-Pedic International Inc. (b) 86 1,832
Household Products - 2.1%
Kimberly-Clark Corp. 40 2,652
Newell Rubbermaid Inc. (l) 199 4,807
7,459
Insurance - 1.9%
American International Group Inc. 79 5,175
MetLife Inc. 22 891
St. Paul Cos. Inc. 19 704
6,770
Internet - 4.0%
CheckFree Corp. (b) 42 1,601
eBay Inc. (b) 49 5,744
Symantec Corp. (b) 111 2,853
Yahoo! Inc. (b) 110 4,130
14,328
Leisure Time - 0.8%
Harley-Davidson Inc. 47 2,838
Lodging - 1.0%
Harrah's Entertainment Inc. 55 3,673
Machinery - 0.2%
Deere & Co. 12 894
Manufacturing - 5.3%
3M Co. 24 1,970
Cooper Industries Ltd. - Class A 22 1,494
General Electric Capital Corp. 181 6,616
Harsco Corp. 30 1,672
Honeywell International Inc. 29 1,027
Tyco International Ltd. 175 6,265
19,044
Media - 4.9%
Comcast Corp. - Special Class A (b) 55 1,819
EchoStar Communications Corp. 66 2,205
McGraw-Hill Cos. Inc. 15 1,373
Time Warner Inc. (b) 378 7,339
Tribune Co. 23 969
Viacom Inc. - Class B 47 1,710
Walt Disney Co. 73 2,033
17,448
Oil & Gas Producers - 3.0%
BP Plc - ADR 34 1,968
ENSCO International Inc. 50 1,593
Exxon Mobil Corp. 141 7,228
10,789
Oil & Gas Services - 0.5%
Halliburton Co. 46 1,813
Pharmaceuticals - 7.8%
Abbott Laboratories 44 2,064
Allergan Inc. 21 1,694
Bristol-Myers Squibb Co. 45 1,153
Caremark Rx Inc. (b) 52 2,031
Pfizer Inc. 514 13,815
Wyeth 171 7,266
28,023
Pipelines - 0.5%
Kinder Morgan Inc. 26 1,901
Real Estate - 1.6%
Boston Properties Inc. 11 711
Crescent Real Estate Equities Co. 49 895
Equity Office Properties Trust 35 1,019
General Growth Properties Inc. 29 1,049
Health Care Property Investors Inc. 48 1,329
Vornado Realty Trust 9 685
5,688
Retail - 7.8%
CVS Corp. 82 3,691
Home Depot Inc. 157 6,702
McDonald's Corp. 296 9,482
Target Corp. 56 2,885
Wal-Mart Stores Inc. 76 4,017
Wendy's International Inc. 28 1,086
27,863
Semiconductors - 7.0%
Altera Corp. (b) 56 1,158
Applied Materials Inc. (b) 165 2,824
Broadcom Corp. (b) 146 4,708
Entegris Inc. (b) 188 1,873
Fairchild Semiconductor International Inc. - Class A (b) 135 2,193
Intel Corp. 145 3,401
Maxim Integrated Products Inc. 70 2,948
National Semiconductor Corp. 134 2,400
Texas Instruments Inc. 91 2,250
Ultra Clean Holdings (b) 217 1,313
25,068
Software - 4.1%
First Data Corp. 28 1,174
Microsoft Corp. 291 7,759
Veritas Software Corp. (b) 207 5,913
14,846
Telecommunications - 0.5%
SBC Communications Inc. 28 722
Verizon Communications Inc. 28 1,134
1,856
Telecommunications Equipment - 1.2%
Cisco Systems Inc. (b) 150 2,895
Nortel Networks Corp. (b) 378 1,318
4,213
Tobacco - 1.4%
Altria Group Inc. 85 5,181
Transportation - 0.8%
FedEx Corp. 30 2,945
Wireless Telecommunications - 2.1%
Nokia Oyj - ADR 368 5,770
Qualcomm Inc. 43 1,802
7,572
Total Common Stocks (cost $292,904) 327,431
Preferred Stocks - 0.2%
Insurance - 0.2%
Travelers Property Casualty Corp., 4.50% 31 707
Total Preferred Stocks (cost $768) 707
Warrants - 0.0%
Telecommunications Equipment - 0.0%
Lucent Technologies Inc., Strike Price $2.75,
Expiring 12/10/07 4 7
Total Warrants (cost $0) 7
Corporate Bonds - 0.7%
Healthcare - 0.2%
Community Health Systems Inc., 4.25%, 10/15/08 (j) 575 597
Insurance - 0.2%
Loews Corp., 3.125%, 09/15/07 (j) 750 737
Media - 0.4%
Liberty Media Corp., 3.25%, 03/15/31 (j) (l) 1,330 1,305
Total Corporate Bonds (cost $2,494) 2,639
Short Term Investments - 9.0%
Money Market Funds - 7.4%
Dreyfus Cash Management Plus, 1.98% (a) 17,907 17,907
Dreyfus Government Cash Management, 1.87% (a) 8,626 8,626
26,533
Securities Lending Collateral - 1.6%
Mellon GSL Delaware Business Trust Collateral Fund 5,895 5,895
Total Short Term Investments (cost $32,428) 32,428
Total Investments - 101.4% (cost $328,594) 363,212
Other Assets and Liabilities, Net - (1.4%) (5,214)
Total Net Assets - 100% $ 357,998
JNL/EAGLE SMALLCAP EQUITY FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 25.3%
Consumer, Cyclical 20.5%
Technology 18.4%
Industrial 12.9%
Energy 8.3%
Financial 7.1%
Communications 6.3%
Money Market Investment 1.2%
100.0%
Common Stocks - 98.8%
Agriculture - 2.0%
Delta & Pine Land Co. 125 $ 3,422
Apparel - 0.7%
Columbia Sportswear Co. (b) 19 1,139
Banks - 3.4%
Bank Mutual Corp. 57 690
First Bancorp. 55 3,488
TrustCo Bancorp. 100 1,382
5,560
Biotechnology - 2.8%
Decode Genetics Inc. (b) 187 1,463
Martek Biosciences Corp. (b) (l) 66 3,374
4,837
Commercial Services - 1.6%
Corrections Corp. of America (b) 66 2,670
Computers - 4.6%
Factset Research Systems Inc. 78 4,535
RadiSys Corp. (b) 170 3,321
7,856
Distribution & Wholesale - 1.5%
SCP Pool Corp. (l) 81 2,591
Electrical Components & Equipment - 2.4%
General Cable Corp. (b) 290 4,022
Electronics - 1.8%
Gentex Corp. 55 2,044
OYO Geospace Corp. (b) 50 945
2,989
Entertainment - 8.4%
Alliance Gaming Corp. (b) (l) 324 4,469
Lions Gate Entertainment Corp. (b) 482 5,118
Nevada Gold & Casinos Inc. (b) 57 694
Shuffle Master Inc. (b) (l) 85 4,013
14,294
Environmental Control - 6.3%
Aleris International Inc. (b) 242 4,088
Duratek Inc. (b) 71 1,771
Waste Connections Inc. (b) (l) 141 4,819
10,678
Healthcare - 15.7%
American Healthways Inc. (b) 149 4,924
American Medical Systems Holdings Inc. (b) 97 4,047
Cooper Cos. Inc. (l) 47 3,298
Edwards Lifesciences Corp. (b) 66 2,709
Horizon Health Corp. (b) 111 3,103
Inamed Corp. (b) 77 4,875
Respironics Inc. (b) 69 3,767
26,723
Home Furnishings - 5.2%
Tempur-Pedic International Inc. (b) 163 3,449
Universal Electronics Inc. (b) 309 5,444
8,893
Insurance - 3.8%
Direct General Corp. 89 2,867
Philadelphia Consolidated Holding Co. (b) 37 2,434
Primus Guaranty Ltd. (b) 75 1,229
6,530
Internet - 2.9%
eCollege.com Inc. (b) 68 767
eDiets.com Inc. (b) (l) 68 300
Internet Capital Group Inc. (b) (l) 118 1,065
Radware Ltd. (b) 105 2,733
4,865
Leisure Time - 0.1%
Orange 21 Inc. (b) (l) 23 242
Manufacturing - 1.1%
Actuant Corp. - Class A (b) 36 1,888
Oil & Gas Producers - 6.0%
Patterson-UTI Energy Inc. (l) 267 5,193
Unit Corp. (b) 130 4,974
10,167
Oil & Gas Services - 2.3%
Maverick Tube Corp. (b) (l) 56 1,697
Tetra Technologies Inc. (b) 81 2,284
3,981
Pharmaceuticals - 3.1%
Dendreon Corp. (b) (l) 63 675
Medicis Pharmaceutical Corp. - Class A (l) 96 3,360
VCA Antech Inc. (b) 64 1,262
5,297
Retail - 4.5%
Cabela's Inc. - Class A (b) 69 1,567
Cash America International Inc. 53 1,579
Genesco Inc. (b) 146 4,558
7,704
Semiconductors - 4.1%
ASE Test Ltd. (b) (l) 231 1,559
Emulex Corp. (b) 149 2,501
Integrated Device Technology Inc. (b) 244 2,825
6,885
Software - 9.7%
Ansys Inc. (b) 63 2,034
Avid Technology Inc. (b) (l) 48 2,936
Datastream Systems Inc. (b) 564 3,910
Eclipsys Corp. (b) 164 3,355
Global Payments Inc. (l) 47 2,763
Netsmart Technologies Inc. (b) 167 1,498
16,496
Telecommunications Equipment - 1.9%
C-COR.net Corp. (b) 177 1,645
Tekelec (b) 79 1,611
3,256
Transportation - 1.4%
OMI Corp. 137 2,302
Wireless Telecommunications - 1.5%
EMS Technologies Inc. (b) 156 2,591
Total Common Stocks (cost $124,846) 167,878
Short Term Investments - 13.4%
Money Market Funds - 1.2%
Dreyfus Cash Management Plus, 1.98% (a) 1,954 1,954
Securities Lending Collateral - 12.2%
Mellon GSL Delaware Business Trust Collateral Fund 20,732 20,732
Total Short Term Investments (cost $22,686) 22,686
Total Investments - 112.2% (cost $147,532) 190,564
Other Assets and Liabilities, Net - (12.2%) (20,811)
Total Net Assets - 100% $ 169,753
JNL/FMR BALANCED FUND
Percentage of Total
Industry Sector Investments (o)
Government 30.2%
Financial 12.6%
Consumer, Non-cyclical 11.8%
Industrial 10.5%
Communications 8.0%
Energy 6.6%
Technology 6.3%
Consumer, Cyclical 5.7%
Basic Materials 4.2%
Money Market Investment 2.4%
Utilities 1.7%
100.0%
Common Stocks - 67.1%
Advertising - 0.3%
Lamar Advertising Co. (b) 8 $ 338
Aerospace & Defense - 1.4%
BE Aerospace Inc. (b) 5 57
Boeing Co. 1 26
European Aeronautic Defense and Space Co. 5 151
Goodrich Corp. 7 238
Lockheed Martin Corp. 3 183
Northrop Grumman Corp. 3 158
Rockwell Collins Inc. 2 87
Titan Corp. (b) 2 32
United Technologies Corp. 3 341
1,273
Agriculture - 0.3%
Bunge Ltd. 4 222
Monsanto Co. 2 123
345
Airlines - 0.7%
Airtran Holdings Inc. (b) (l) 16 175
Delta Air Lines Inc. (b) (l) 16 116
Frontier Airlines Inc. (b) 30 347
Northwest Airlines Corp. (b) 5 54
692
Apparel - 0.0%
Reebok International Ltd. - 18
Auto Manufacturers - 0.2%
Navistar International Corp. (b) (l) 3 132
Wabash National Corp. (b) 4 100
232
Auto Parts & Equipment - 0.1%
Dana Corp. 1 14
TRW Automotive Inc. (b) 6 124
138
Banks - 3.8%
Bank of America Corp. 33 1,548
Cathay Bancorp. Inc. - 8
Comerica Inc. 2 116
M&T Bank Corp. 1 54
Nara Bancorp. Inc. 2 36
North Fork Bancorp. Inc. 9 258
PrivateBancorp Inc. - 6
Silicon Valley Bancshares (b) 3 134
State Street Corp. 2 93
UCBH Holdings Inc. 2 110
UnionBanCal Corp. 1 84
W Holding Co. Inc. 9 199
Wachovia Corp. 12 620
Wells Fargo & Co. 3 162
Wilshire Bancorp Inc. (b) 5 77
Wintrust Financial Corp. 2 114
3,619
Beverages - 0.2%
Coca-Cola Co. 6 233
Biotechnology - 0.3%
Biogen Idec Inc. (b) (l) 1 87
Enzon Pharmaceuticals Inc. (b) 4 51
Genentech Inc. (b) 2 98
Millennium Pharmaceuticals Inc. (b) 9 104
Oscient Pharmaceuticals Corp. (b) 6 20
360
Building Materials - 0.6%
American Standard Cos. Inc. (b) 1 56
Eagle Materials Inc. 2 138
Martin Marietta Materials Inc. 1 27
Masco Corp. (l) 4 128
Texas Industries Inc. 2 106
Trex Co. Inc. (b) 1 42
Vulcan Materials Co. 1 66
York International Corp. 2 65
628
Chemicals - 1.6%
Albemarle Corp. 2 77
Dow Chemical Co. 7 327
Great Lakes Chemical Corp. 3 97
Lyondell Chemical Co. (l) 17 496
Nova Chemicals Corp. 7 308
Olin Corp. 11 236
Praxair Inc. 2 102
UAP Holding Corp. (b) 4 66
1,709
Commercial Services - 0.9%
Apollo Group Inc. (b) 1 56
BearingPoint Inc. (b) 11 86
Career Education Corp. (b) 4 156
Cendant Corp. 9 206
DeVry Inc. (b) 1 17
McKesson Corp. 7 233
Pharmaceutical Product Development Inc. (b) - 12
Robert Half International Inc. 1 35
United Rentals Inc. (b) 7 127
Weight Watchers International Inc. (b) (l) 1 58
986
Computers - 1.3%
Affiliated Computer Services Inc. - Class A (b) 1 48
Cadence Design Systems Inc. (b) (l) 9 120
Ceridian Corp. (b) 10 174
Diebold Inc. 2 123
Hutchinson Technology Inc. (b) 3 90
Lexmark International Inc. (b) 1 62
Maxtor Corp. (b) 43 228
National Instruments Corp. 1 14
Seagate Technology (b) 13 216
Storage Technology Corp. (b) 4 139
Western Digital Corp. (b) 13 138
1,352
Cosmetics & Personal Care - 0.7%
Colgate-Palmolive Co. 3 174
Estee Lauder Cos. Inc. 1 50
Procter & Gamble Co. 8 465
689
Distribution & Wholesale - 0.5%
Bell Microproducts Inc. (b) 9 90
Ingram Micro Inc. - Class A (b) 13 260
WESCO International Inc. (b) 4 128
478
Diversified Financial Services - 4.9%
American Express Co. (l) 1 64
Bear Stearns Cos. Inc. (l) 1 113
Capital One Financial Corp. (l) 1 109
Citigroup Inc. 32 1,527
Countrywide Financial Corp. 5 188
E*TRADE Group Inc. (b) 5 81
Fannie Mae 1 71
Freddie Mac 8 570
Goldman Sachs Group Inc. 2 235
JPMorgan Chase & Co. 22 876
Lehman Brothers Holdings Inc. 4 306
MBNA Corp. 5 132
Merrill Lynch & Co. Inc. (l) 7 412
Morgan Stanley 8 451
5,135
Electric - 1.7%
AES Corp. (b) 40 552
Dominion Resources Inc. 3 190
Entergy Corp. 2 128
Exelon Corp. 5 207
NorthWestern Corp. (b) - 3
NRG Energy Inc. (b) - 7
PG&E Corp. (b) 5 153
PPL Corp. 2 85
TXU Corp. (l) 8 498
1,823
Electrical Components & Equipment - 0.3%
LG Electronics Inc. (b) 3 165
Molex Inc. 2 69
Samsung Electronics Co. Ltd. - 118
352
Electronics - 2.5%
Amphenol Corp. (b) 7 257
Arrow Electronics Inc. (b) 2 51
AU Optronics Corp. 2 30
Avnet Inc. (b) 4 77
Celestica Inc. (b) 21 296
Cymer Inc. (b) 4 130
Fisher Scientific International (b) (l) 2 127
Flextronics International Ltd. (b) 24 326
Hon Hai Precision Industry Co. Ltd. - GDR 14 132
Jabil Circuit Inc. (b) 1 33
Mettler-Toledo International Inc. (b) 3 159
Orbotech Ltd. (b) - 4
Sanmina-SCI Corp. (b) 19 164
Solectron Corp. (b) 24 126
Symbol Technologies Inc. 19 332
Thermo Electron Corp. (b) 1 30
Vishay Intertechnology Inc. (b) (l) 3 38
Waters Corp. (b) 5 211
Watts Industries Inc. 3 85
2,608
Engineering & Construction - 1.0%
Dycom Industries Inc. (b) 6 171
Fluor Corp. (l) 8 431
Granite Construction Inc. 8 202
Jacobs Engineering Group Inc. (b) 1 53
Larsen & Toubro Ltd. 3 65
URS Corp. (b) 4 111
1,034
Entertainment - 0.0%
Macrovision Corp. (b) 1 18
Environmental Control - 0.0%
Nalco Holding Co. (b) 1 18
Food - 0.8%
Albertson's Inc. (l) 4 91
Corn Products International Inc. 1 64
Dean Foods Co. (b) 6 181
Del Monte Foods Co. (b) 7 77
JM Smucker Co. 3 134
McCormick & Co. Inc. 1 54
Safeway Inc. (b) (l) 5 97
Smithfield Foods Inc. (b) 3 100
798
Forest Products & Paper - 0.3%
Buckeye Technologies Inc. (b) 3 42
Smurfit-Stone Container Corp. (b) (l) 10 179
Tembec Inc. (b) 9 55
Votorantim Celulose e Papel SA 6 89
365
Hand & Machine Tools - 0.2%
Techtronic Industries Co. Ltd. 80 174
Healthcare - 3.8%
Aspect Medical Systems Inc. (b) 1 22
Bausch & Lomb Inc. 1 77
Baxter International Inc. 9 297
Beckman Coulter Inc. 2 114
Becton Dickinson & Co. 1 80
Boston Scientific Corp. (b) 2 68
Cytyc Corp. (b) 1 22
Dade Behring Holdings Inc. (b) 5 302
DaVita Inc. (b) 3 134
Edwards Lifesciences Corp. (b) 5 186
Epix Medical Inc. (b) 2 29
Fresenius Medical Care AG 3 70
Guidant Corp. 2 115
Hanger Orthopedic Group Inc. (b) 12 94
Health Net Inc. (b) 3 92
Humana Inc. (b) 3 92
Immucor Inc. (b) 4 99
Johnson & Johnson 2 146
Medtronic Inc. 4 199
Molina Healthcare Inc. (b) 1 60
Pacificare Health Systems Inc. (b) (l) 6 322
Pediatrix Medical Group Inc. (b) 2 109
ResMed Inc. (b) (l) 2 107
Smith & Nephew Plc 8 87
St. Jude Medical Inc. (b) 5 201
Synthes Inc. (b) 1 151
UnitedHealth Group Inc. 8 686
3,961
Home Builders - 0.9%
Champion Enterprises Inc. (b) 5 59
DR Horton Inc. 4 169
KB Home 2 188
Ryland Group Inc. 3 161
Standard-Pacific Corp. 2 109
Toll Brothers Inc. (b) 4 275
961
Home Furnishings - 0.0%
Whirlpool Corp. - 14
Insurance - 2.8%
ACE Ltd. 5 192
AFLAC Inc. 6 251
AMBAC Financial Group Inc. 2 123
American International Group Inc. 14 939
Arch Capital Group Ltd. (b) - 8
Assurant Inc. 2 49
Conseco Inc. (b) 7 146
Endurance Specialty Holdings Ltd. 4 130
Fidelity National Financial Inc. 1 64
Hartford Financial Services Group Inc. 3 222
Hilb Rogal & Hamilton Co. 2 62
MBIA Inc. 3 209
MGIC Investment Corp. 1 62
Scottish Re Group Ltd. 2 39
Specialty Underwriters' Alliance Inc. (b) 5 43
St. Paul Cos. Inc. 5 178
Torchmark Corp. 1 63
USI Holdings Corp. (b) 3 34
W.R. Berkley Corp. 1 37
Willis Group Holdings Ltd. 3 118
2,969
Internet - 0.5%
Amazon.Com Inc. (b) (l) 2 80
Covad Communications Group Inc. (b) (l) 105 225
Macromedia Inc. (b) 3 80
NetBank Inc. 6 67
WebMD Corp. (b) (l) 11 88
540
Iron & Steel - 0.2%
Gerdau AmeriSteel Corp. (b) 16 107
Nucor Corp. 1 73
Tenaris SA - 20
200
Leisure Time - 0.4%
Brunswick Corp. 1 45
Carnival Corp. (l) 2 86
Multimedia Games Inc. (b) 4 56
Royal Caribbean Cruises Ltd. 3 180
367
Lodging - 0.2%
Kerzner International Ltd. (b) 3 180
Wyndham International Inc. (b) 39 46
226
Machinery - 0.5%
AGCO Corp. (b) 7 160
Astec Industries Inc. (b) 5 84
Briggs & Stratton Corp. 2 83
Gardner Denver Inc. (b) 1 29
Manitowoc Co. 1 45
Terex Corp. (b) 2 86
Weir Group Plc 10 63
550
Manufacturing - 2.7%
AO Smith Corp. 2 51
General Electric Capital Corp. 42 1,537
Hexcel Corp. (b) 2 23
Honeywell International Inc. 9 309
Siemens Ag ADR 2 195
SPX Corp. (l) 3 116
Tyco International Ltd. 16 565
2,796
Media - 2.2%
Antena 3 Television SA (b) 1 101
Citadel Broadcasting Corp. (b) 4 57
Clear Channel Communications Inc. 13 425
Emmis Communications Corp. (b) 5 94
Fox Entertainment Group Inc. (b) 4 122
Gestevision Telecinco SA (b) 4 74
Lagardere S.C.A. 2 130
Liberty Media Corp. (b) 18 202
Liberty Media International Inc. - Class A (b) 2 112
McGraw-Hill Cos. Inc. 1 55
News Corp Inc. 7 131
Radio One Inc. - Class D (b) 4 68
Salem Communications Corp. - Class A (b) 2 54
SBS Broadcasting SA (b) 1 56
The Directv Group Inc. (b) 7 116
UnitedGlobalCom Inc. (b) 10 100
Univision Communications Inc. (b) 3 91
Walt Disney Co. 11 308
2,296
Metal Fabrication & Hardware - 0.3%
Precision Castparts Corp. 3 164
Timken Co. (l) 7 188
352
Mining - 2.4%
Agnico-Eagle Mines Ltd. 9 120
Alcan Inc. 7 339
Alcoa Inc. 7 204
Falconbridge Ltd. 6 145
Fording Canadian Coal Trust 1 108
Freeport-McMoRan Copper & Gold Inc. 11 405
Goldcorp Inc. 9 138
Inmet Mining Corp. (b) 2 31
Lionore Mining International Ltd. (b) 7 38
Massey Energy Co. 7 238
Meridian Gold Inc. (b) 14 270
Meridian Gold Inc. (b) 1 19
Phelps Dodge Corp. 3 277
Rio Tinto Plc 1 72
Stillwater Mining Co. (b) 2 21
Wheaton River Minerals Ltd. (b) 21 66
2,491
Office & Business Equipment - 0.3%
Xerox Corp. (b) 17 284
Office Furnishings - 0.3%
Herman Miller Inc. 3 75
HNI Corp. 2 86
Interface Inc. (b) 15 146
Steelcase Inc. - 3
310
Oil & Gas Producers - 2.5%
Chesapeake Energy Corp. (l) 9 149
EnCana Corp. 3 183
Encore Acquisition Co. (b) 3 105
Giant Industries Inc. (b) - 8
Grey Wolf Inc. (b) 30 157
Holly Corp. 5 149
McMoRan Exploration Co. (b) (l) 2 32
Nabors Industries Ltd. (b) 2 108
Plains Exploration & Production Co. (b) (l) 3 73
Premcor Inc. 4 164
Pride International Inc. (b) (l) 35 725
Quicksilver Resources Inc. (b) (l) 5 183
Range Resources Corp. 7 132
Sasol Ltd. Sponsored ADR 1 20
Valero Energy Corp. 11 476
2,664
Oil & Gas Services - 3.7%
BJ Services Co. 7 344
Grant Prideco Inc. (b) 28 559
Halliburton Co. 13 491
National-Oilwell Inc. (b) 22 790
Oil States International Inc. (b) 2 35
Smith International Inc. (b) 8 457
Varco International Inc. (b) 8 224
Weatherford International Ltd. (b) 16 836
Willbros Group Inc. (b) 6 135
3,871
Packaging & Containers - 0.5%
Owens-Illinois Inc. (b) 16 365
Packaging Corp. of America 2 40
Pactiv Corp. (b) 3 86
491
Pharmaceuticals - 3.7%
Alkermes Inc. (b) 7 93
AmerisourceBergen Corp. (l) 2 88
Angiotech Pharmaceuticals Inc. (b) 3 46
Angiotech Pharmaceuticals Inc. (b) 1 20
Atherogenics Inc. (b) (l) 4 104
Barr Laboratories Inc. (b) 3 133
Cardinal Health Inc. 7 395
Caremark Rx Inc. (b) 3 119
Cipla Ltd. 14 99
Connetics Corp. (b) 4 100
CSL Ltd. 10 231
Dendreon Corp. (b) (l) 6 65
Endo Pharmaceuticals Holdings Inc. (b) 4 84
Guilford Pharmaceuticals Inc. (b) 16 77
IVAX Corp. (b) 4 60
Medarex Inc. (b) (l) 8 82
MGI Pharma Inc. (b) - 6
Omnicare Inc. 2 76
Onyx Pharmaceuticals Inc. (b) (l) 2 65
OSI Pharmaceuticals Inc. (b) 3 240
Pfizer Inc. 23 609
Pharmion Corp. (b) 3 114
Priority Healthcare Corp. (b) (l) 6 124
Schering-Plough Corp. 16 330
Sepracor Inc. (b) 2 118
Tanox Inc. (b) 4 61
Wyeth 8 327
3,867
Real Estate - 0.6%
Alexandria Real Estate Equities Inc. - 30
CBL & Associates Properties Inc. 1 46
Centerpoint Properties Corp. 2 96
Equity Lifestyle Properties Inc. 1 46
Equity Residential 4 134
General Growth Properties Inc. 2 87
Reckson Associates Realty Corp. 2 62
Vornado Realty Trust 1 91
592
Retail - 2.3%
Advance Auto Parts (b) 4 175
Buffalo Wild Wings Inc. (b) 1 22
CVS Corp. 3 135
Dollar Tree Stores Inc. (b) (l) 2 43
Foot Locker Inc. 6 164
Fred's Inc. 3 52
Home Depot Inc. 5 209
J.C. Penney Co. Inc. 3 120
McDonald's Corp. 9 298
OfficeMax Inc. (l) 3 94
PEP Boys-Manny Moe & Jack 8 138
RadioShack Corp. 9 306
Ross Stores Inc. 4 113
Saks Inc. (b) 4 61
ShopKo Stores Inc. (b) 3 64
Toys "R" Us Inc. (b) 9 174
Wal-Mart Stores Inc. 2 111
Wendy's International Inc. 3 105
2,384
Savings & Loans - 0.8%
Fidelity Bankshares Inc. 2 73
First Niagara Financial Group Inc. 2 24
Golden West Financial Corp. 2 147
KNBT Bancorp. Inc. 2 34
New York Community Bancorp. Inc. (l) 11 226
NewAlliance Bancshares Inc. 5 80
Sovereign Bancorp. Inc. 12 266
850
Semiconductors - 3.8%
Agere Systems Inc. (b) 174 238
Agere Systems Inc. - Class B (b) 152 206
Amkor Technology Inc. (b) (l) 4 26
Analog Devices Inc. 1 41
Asat Holdings Ltd. (b) 12 16
ASM Lithography Holding NV (b) - 3
ASML Holding NV - NYS (b) 11 167
ATMI Inc. (b) (l) 16 349
Axcelis Technologies Inc. (b) (l) 21 170
Cascade Microtech Inc. (b) 3 40
Conexant Systems Inc. (b) 15 30
Credence Systems Corp. (b) (l) 14 128
Cypress Semiconductor Corp. (b) (l) 4 48
Fairchild Semiconductor International Inc. - Class A (b) 18 285
Formfactor Inc. (b) 3 87
Freescale Semiconductor Inc. (b) 51 937
Integrated Circuit Systems Inc. (b) 6 130
Integrated Device Technology Inc. (b) 2 24
Intersil Corp. 14 228
LTX Corp. (b) 28 216
National Semiconductor Corp. 15 269
ON Semiconductor Corp. (b) 8 38
PMC - Sierra Inc. (b) 7 80
QLogic Corp. (b) 3 99
Teradyne Inc. (b) 6 94
United Microelectronics Corp. - ADR (b) 3 11
Vitesse Semiconductor Corp. (b) 6 20
3,980
Software - 0.9%
BEA Systems Inc. (b) 19 170
Cerner Corp. (b) 1 48
Cognos Inc. (b) - 4
Cognos Inc. (b) 2 66
FILENET Corp. (b) 3 72
First Data Corp. 4 157
Informatica Corp. (b) 4 33
Microsoft Corp. 8 203
Siebel Systems Inc. (b) 8 88
Veritas Software Corp. (b) 3 95
936
Telecommunications - 2.4%
Amdocs Ltd. (b) 1 32
BellSouth Corp. 8 231
Citizens Communications Co. 4 50
Indonesian Satellite Corp. - ADR 1 44
KDDI Corp. - 102
MASTEC Inc. (b) 12 120
NTL Inc. (b) 6 430
Philippine Long Distance Telephone Co. ADR (b) 3 70
PT Telekomunikasi Indonesia ADR 2 42
SBC Communications Inc. 26 657
Telewest Global Inc. (b) 4 70
Verizon Communications Inc. (l) 16 636
2,484
Telecommunications Equipment - 0.9%
ADC Telecommunications Inc. (b) 10 26
Adtran Inc. - 1
Alcatel SA - ADR (b) 9 145
Andrew Corp. (b) 3 42
Avaya Inc. (b) 5 83
Comverse Technology Inc. (b) 6 144
Enterasys Networks Inc. (b) 28 50
Extreme Networks Inc. (b) - 2
Finisar Corp. (b) (l) 6 14
Harris Corp. - 12
Juniper Networks Inc. (b) 3 69
Marconi Corp. Plc (b) 6 63
Sycamore Networks Inc. (b) 63 258
909
Tobacco - 1.0%
Altria Group Inc. 17 1,063
Transportation - 0.7%
Alexander & Baldwin Inc. 1 50
Burlington Northern Santa Fe Corp. 3 147
EGL Inc. (b) (l) 4 132
Forward Air Corp. (b) - 13
Norfolk Southern Corp. 5 170
Swift Transportation Co. Inc. (b) 1 22
Teekay Shipping Corp. (l) 1 42
UTI Worldwide Inc. 1 81
Yamato Transport Co. Ltd. 4 59
716
Wireless Telecommunications - 1.5%
American Tower Corp. (b) (l) 26 486
Crown Castle International Corp. (b) 6 93
Mobile TeleSystems - 42
Motorola Inc. 12 215
Nextel Communications Inc. (b) 7 198
Nextel Partners Inc. (b) 6 115
NII Holdings Inc. - Class B (b) 2 90
Qualcomm Inc. 2 93
Spectrasite Inc. (b) 4 226
Western Wireless Corp. (b) 1 32
Wireless Facilities Inc. (b) 3 24
1,614
Total Common Stocks (cost $62,216) 70,153
Preferred Stocks - 0.2%
Auto Manufacturers - 0.1%
Porsche AG (b) - 64
Sovereign - 0.1%
Fannie Mae, 5.375% (b) - 106
Total Preferred Stocks (cost $166) 170
Corporate Bonds - 0.2%
Computers - 0.1%
Synaptics Inc., 0.75%, 12/01/24 (e) (j) $20 19
Insurance - 0.0%
American Equity Investment Life Holding Co.,
5.25%, 12/06/24 (e) (j) 20 22
Internet - 0.1%
Priceline.com Inc., 2.25%, 01/15/25 (e) (j) 100 98
Oil & Gas Producers - 0.0%
McMoRan Exploration Co., 5.25%, 10/06/11 (e) (j) 20 28
Pharmaceuticals - 0.0%
Schering-Plough Corp., 6.00%, 09/14/07 (j) 1 51
Semiconductors - 0.0%
ASM International NV, 4.25%, 12/06/11 (e) (j) 20 22
Telecommunications - 0.0%
Level 3 Communications Inc., 5.25%, 12/15/11 (e) (j) 20 20
Total Corporate Bonds (cost $245) 260
Government Securities - 29.9%
U.S. Treasury Securities - 29.9%
U.S. Treasury Bond, 6.125%, 08/15/29 (l) 4,300 5,048
U.S. Treasury Note
3.25%, 01/15/09 (l) 9,000 8,922
2.50%, 05/31/06 (l) 10,210 10,151
4.25%, 11/15/13 (l) 7,085 7,130
Total Government Securities (cost $30,770) 31,251
Short Term Investments - 35.6%
Money Market Funds - 2.4%
Dreyfus Cash Management Plus, 1.98% (a) 2,478 2,478
Securities Lending Collateral - 33.2%
Mellon GSL Delaware Business Trust Collateral Fund 34,714 34,714
Total Short Term Investments (cost $37,192) 37,192
Total Investments - 133.0% (cost $130,589) 139,026
Other Assets and Liabilities, Net - (33.0%) (34,460)
Total Net Assets - 100% $ 104,566
JNL/FMR CAPITAL GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Communications 26.7%
Consumer, Non-cyclical 18.8%
Consumer, Cyclical 17.3%
Industrial 13.1%
Basic Materials 10.0%
Energy 7.3%
Financial 4.6%
Technology 1.2%
Money Market Investment 0.8%
Government 0.2%
100.0%
Common Stocks - 99.1%
Advertising - 3.0%
Lamar Advertising Co. (b) 21 $ 881
Omnicom Group Inc. 64 5,354
6,235
Aerospace & Defense - 2.6%
Empresa Brasiliera de Aeronautica SA - ADR (l) 164 5,487
Agriculture - 4.6%
Archer-Daniels-Midland Co. 84 1,881
Bunge Ltd. 47 2,657
Monsanto Co. 94 5,232
9,770
Airlines - 1.7%
Ryanair Holdings Plc - ADR (b) (l) 50 2,025
Westjet Airlines Ltd. (b) 156 1,560
3,585
Beverages - 1.7%
Adolph Coors Co. - Class B (l) 47 3,587
Chemicals - 6.4%
Agrium Inc. 66 1,107
Agrium Inc. 20 329
Lyondell Chemical Co. (l) 87 2,528
Potash Corp. 60 4,950
Potash Corp. Of Saskatchewan 18 1,474
Syngenta AG (b) 54 1,144
The Mosaic Co. (b) 124 2,017
13,549
Commercial Services - 5.0%
BearingPoint Inc. (b) 146 1,176
Career Education Corp. (b) 117 4,666
R.R. Donnelley & Sons Co. 89 3,134
Universal Technical Institute Inc. (b) 39 1,493
10,469
Diversified Financial Services - 3.0%
Archipelago Holdings Inc. (b) 49 1,033
Calamos Asset Management Inc. - Class A (b) 141 3,799
CapitalSource Inc. (b) 59 1,522
6,354
Electronics - 4.5%
Fisher Scientific International (b) (l) 99 6,193
Symbol Technologies Inc. 193 3,336
9,529
Engineering & Construction - 1.3%
Dycom Industries Inc. (b) 28 861
Fluor Corp. (l) 34 1,864
2,725
Entertainment - 0.4%
Macrovision Corp. (b) 29 744
Food - 2.0%
Safeway Inc. (b) 210 4,139
Healthcare - 3.8%
Baxter International Inc. 106 3,658
Cytyc Corp. (b) 116 3,204
Gen-Probe Inc. (b) 2 99
Kinetic Concepts Inc. (b) 11 847
Ventana Medical Systems Inc. (b) 2 96
7,904
Home Furnishings - 6.2%
Harman International Industries Inc. 103 13,018
Insurance - 1.1%
AMBAC Financial Group Inc. 29 2,390
Internet - 1.4%
Symantec Corp. (b) 116 2,991
Iron & Steel - 0.5%
Tenaris SA 22 1,061
Leisure Time - 4.0%
Royal Caribbean Cruises Ltd. (l) 155 8,460
Manufacturing - 1.8%
Eastman Kodak Co. 37 1,184
Pentair Inc. 60 2,631
3,815
Media - 0.8%
Cumulus Media Inc. - Class A (b) 24 365
Entercom Communications Corp. (b) 15 542
Salem Communications Corp. - Class A (b) 27 681
1,588
Mining - 3.0%
Freeport-McMoRan Copper & Gold Inc. (l) 33 1,273
Harmony Gold Mining Co. Ltd. (l) 132 1,225
Newmont Mining Corp. 87 3,855
6,353
Office Furnishings - 1.5%
Knoll Inc. (b) 182 3,180
Oil & Gas Producers - 2.2%
ENSCO International Inc. 47 1,482
Noble Corp. (b) 62 3,094
4,576
Oil & Gas Services - 5.1%
BJ Services Co. 26 1,215
Grant Prideco Inc. (b) 112 2,248
National-Oilwell Inc. (b) 11 402
Seacor Smit Inc. (b) 11 587
Varco International Inc. (b) 130 3,775
Weatherford International Ltd. (b) 50 2,585
10,812
Packaging & Containers - 0.5%
Pactiv Corp. (b) 41 1,047
Pharmaceuticals - 1.8%
ImClone Systems Inc. (b) 23 1,051
Neurocrine Biosciences Inc. (b) 26 1,302
Watson Pharmaceuticals Inc. (b) 43 1,394
3,747
Real Estate - 0.5%
Equity Residential 28 1,024
Retail - 3.5%
RadioShack Corp. 57 1,887
Tiffany & Co. 51 1,640
Wendy's International Inc. 100 3,911
7,438
Semiconductors - 0.7%
Atmel Corp. (b) 42 165
Freescale Semiconductor Inc. (b) 66 1,210
1,375
Software - 0.6%
Navteq Corp. (b) 26 1,219
Telecommunications - 8.4%
Citizens Communications Co. 475 6,556
Indonesian Satellite Corp. - ADR (l) 63 1,952
NTL Inc. (b) 84 6,129
Philippine Long Distance Telephone Co. ADR (b) 27 681
Telewest Global Inc. (b) 48 847
Telus Corp. 53 1,537
17,702
Transportation - 2.3%
Burlington Northern Santa Fe Corp. 38 1,817
CSX Corp. 26 1,030
Frontline Ltd. 8 355
Golden Ocean Group Ltd. (b) 3 2
Norfolk Southern Corp. 48 1,740
4,944
Wireless Telecommunications - 13.2%
American Tower Corp. (b) (l) 215 3,958
Hutchison Telecommunications International Ltd (b) 276 3,737
Nextel Communications Inc. (b) 558 16,752
Spectrasite Inc. (b) (l) 59 3,410
27,857
Total Common Stocks (cost $187,082) 208,674
Short Term Investments - 13.0%
Money Market Funds - 0.8%
Dreyfus Cash Management Plus, 1.98% (a) 1,628 1,628
Securities Lending Collateral - 12.0%
Mellon GSL Delaware Business Trust Collateral Fund 25,316 25,316
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 1.98%, 02/03/05 $375 374
Total Short Term Investments (cost $27,318) 27,318
Total Investments - 112.1% (cost $214,400) 235,992
Other Assets and Liabilities, Net - (12.1%) (25,587)
Total Net Assets - 100% $ 210,405
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Percentage of Total
Industry Sector Investments (o)
Financial 37.3%
Consumer, Cyclical 11.7%
Communications 10.0%
Consumer, Non-cyclical 8.7%
Industrial 7.5%
Basic Materials 7.0%
Energy 6.0%
Utilities 5.4%
Money Market Investment 4.1%
Technology 1.9%
Government 0.4%
100.0%
Common Stocks - 94.4%
Airlines - 1.1%
Cathay Pacific Airways Ltd. 462 $ 874
Auto Manufacturers - 2.9%
Honda Motor Co. Ltd. 18 917
Peugeot SA 21 1,340
2,257
Auto Parts & Equipment - 0.9%
Hyundai Mobis (b) 12 744
Banks - 25.6%
Banca Intesa SpA 351 1,688
Barclays Plc 219 2,458
BNP Paribas SA 36 2,614
Commerzbank AG (b) 61 1,262
DBS Group Holdings Ltd. 78 769
Deutsche Bank AG 22 1,910
HBOS Plc 148 2,414
HSBC Holdings Plc 115 1,941
Kookmin Bank (b) 18 697
Royal Bank of Scotland Group Plc 72 2,422
UBS AG 9 768
UFJ Holdings Inc. (b) - 2,072
21,015
Beverages - 1.2%
Asahi Breweries Ltd. 79 980
Building Materials - 2.0%
BPB Plc 91 826
Hanson Plc 96 822
1,648
Chemicals - 5.6%
Bayer AG 39 1,327
Ciba Specialty Chemicals AG (b) 10 724
Mitsui Chemicals Inc. 240 1,307
Reliance Industries Ltd. - GDR (e) 47 1,212
4,570
Commercial Services - 1.0%
Rank Group Plc 170 861
Distribution & Wholesale - 1.5%
Itochu Corp. (b) 273 1,263
Diversified Financial Services - 1.4%
Daiwa Securities Group Inc. 161 1,163
Electric - 5.3%
E.ON AG 24 2,201
Iberdrola SA 56 1,424
Scottish Power Plc 94 731
4,356
Electrical Components & Equipment - 1.3%
Mitsubishi Electric Corp. 219 1,073
Electronics - 0.4%
Hon Hai Precision Industry Co. Ltd. - GDR 37 347
Food - 2.4%
Koninklijke Wessanen NV 63 808
Tesco Plc 191 1,183
1,991
Forest Products & Paper - 1.3%
UPM-Kymmene Oyj 50 1,107
Home Furnishings - 2.8%
SONY Corp. 37 1,441
Thomson 32 836
2,277
Insurance - 8.9%
Aviva Plc 87 1,044
AXA 53 1,318
ING Groep NV 73 2,202
Muenchener Rueckversicherungs AG 14 1,746
Zurich Financial Services AG (b) 6 970
7,280
Leisure Time - 0.9%
TUI AG 33 774
Machinery - 2.4%
Atlas Copco AB 27 1,221
Kubota Corp. 153 759
1,980
Media - 2.3%
News Corp Inc. 27 504
ProSieben Sat.1 Media AG 34 632
United Business Media Plc 84 779
1,915
Metal Fabrication & Hardware - 1.2%
SKF AB 19 868
SKF AB - Class A 3 134
1,002
Oil & Gas Producers - 5.9%
BP Plc 181 1,765
ENI-Ente Nazionale Idrocarburi SpA 50 1,256
LUKOIL - ADR 4 481
Nippon Mining Holdings Inc. (b) 72 339
Nippon Mining Holdings Inc. 67 313
Petroleo Brasileiro SA - Petrobras - ADR 19 685
4,839
Pharmaceuticals - 2.1%
Sankyo Co. Ltd. 46 1,037
Sanofi-Synthelabo SA 9 720
1,757
Real Estate - 1.1%
Sun Hung Kai Properties Ltd. 94 940
Retail - 1.6%
Compagnie Financiere Richemont AG - Class A 39 1,289
Semiconductors - 1.9%
Rohm Co. Ltd. 8 807
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 87 738
1,545
Telecommunications - 7.6%
BT Group Plc 481 1,875
Nippon Telegraph & Telephone Corp. - 902
PT Telekomunikasi Indonesia 912 474
Royal KPN NV 79 746
Telefonica SA 118 2,224
6,221
Tobacco - 1.8%
Japan Tobacco Inc. - 1,473
Total Common Stocks (cost $67,104) 77,541
Short Term Investments - 8.6%
Money Market Funds - 4.1%
Dreyfus Cash Management Plus, 1.98% (a) 3,343 3,343
Securities Lending Collateral - 4.1%
Mellon GSL Delaware Business Trust Collateral Fund 3,367 3,367
U.S. Treasury Bills - 0.4%
U.S. Treasury Bill, 2.155%, 02/24/05 (m) $320 319
Total Short Term Investments (cost $7,029) 7,029
Total Investments -103.0% (cost $74,133) 84,570
Other Assets and Liabilities, Net - (3.0%) (2,484)
Total Net Assets - 100% $ 82,086
JNL/LAZARD MID CAP VALUE FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Cyclical 18.5%
Financial 17.7%
Consumer, Non-cyclical 17.1%
Industrial 12.2%
Communications 10.4%
Technology 9.9%
Energy 5.8%
Money Market Investment 4.0%
Basic Materials 3.3%
Utilities 1.1%
100.0%
Common Stocks - 96.7%
Aerospace & Defense - 1.3%
Alliant Techsystems Inc. (b) 46 $ 2,988
Airlines - 1.3%
Southwest Airlines Co. 184 2,999
Apparel - 3.4%
Polo Ralph Lauren Corp. 56 2,364
Reebok International Ltd. (l) 117 5,148
7,512
Auto Parts & Equipment - 2.0%
Lear Corp. 73 4,429
Banks - 5.5%
City National Corp. 30 2,148
M&T Bank Corp. (l) 20 2,168
Mercantile Bankshares Corp. 41 2,130
North Fork Bancorp. Inc. 121 3,489
Northern Trust Corp. 49 2,385
12,320
Beverages - 1.4%
Pepsi Bottling Group Inc. 114 3,077
Chemicals - 2.6%
Ashland Inc. 33 1,932
Rohm & Haas Co. 88 3,879
5,811
Commercial Services - 4.0%
Aramark Corp. 198 5,238
Arbitron Inc. (b) 96 3,750
8,988
Computers - 3.6%
DST Systems Inc. (b) (l) 88 4,581
Storage Technology Corp. (b) 111 3,521
8,102
Distribution & Wholesale - 2.1%
CDW Corp. 49 3,244
Ingram Micro Inc. - Class A (b) 67 1,400
4,644
Diversified Financial Services - 4.6%
Federated Investors Inc. 87 2,657
Legg Mason Inc. 61 4,476
Student Loan Corp. 16 2,999
10,132
Electronics - 1.0%
Vishay Intertechnology Inc. (b) 153 2,301
Engineering & Construction - 0.9%
Jacobs Engineering Group Inc. (b) 43 2,050
Environmental Control - 1.7%
Republic Services Inc. 114 3,824
Food - 1.1%
Dean Foods Co. (b) 75 2,471
Forest Products & Paper - 0.7%
Temple-Inland Inc. 24 1,607
Gas - 1.2%
KeySpan Corp. (l) 65 2,568
Healthcare - 7.2%
DaVita Inc. (b) 111 4,404
Edwards Lifesciences Corp. (b) 84 3,445
Health Net Inc. (b) 103 2,971
Laboratory Corp. of America Holdings (b) 105 5,236
16,056
Household Products - 2.6%
Avery Dennison Corp. (l) 43 2,603
Newell Rubbermaid Inc. 127 3,074
5,677
Insurance - 4.0%
Protective Life Corp. 110 4,687
RenaissanceRe Holdings Ltd. 81 4,192
8,879
Manufacturing - 1.1%
ITT Industries Inc. 29 2,407
Media - 9.0%
Belo Corp. - Class A 196 5,151
Dex Media Inc. 267 6,667
Westwood One Inc. (b) 305 8,219
20,037
Office & Business Equipment - 0.8%
Pitney Bowes Inc. 36 1,685
Oil & Gas Producers - 4.7%
GlobalSantaFe Corp. 119 3,930
Premcor Inc. 36 1,501
Unocal Corp. 78 3,381
Valero Energy Corp. 38 1,722
10,534
Oil & Gas Services - 1.1%
Baker Hughes Inc. 57 2,428
Packaging & Containers - 3.5%
Ball Corp. 79 3,457
Pactiv Corp. (b) 170 4,289
7,746
Pharmaceuticals - 2.3%
Medco Health Solutions Inc. (b) 124 5,167
Real Estate - 3.7%
AMB Property Corp. 53 2,133
Health Care Property Investors Inc. (l) 115 3,173
Trizec Properties Inc. 157 2,967
8,273
Retail - 6.6%
AnnTaylor Stores Corp. (b) 21 444
Brinker International Inc. (b) 74 2,581
Darden Restaurants Inc. 78 2,175
Dollar Tree Stores Inc. (b) 195 5,598
OfficeMax Inc. 46 1,443
Sears Roebuck & Co. 47 2,419
14,660
Semiconductors - 3.7%
AMIS Holdings Inc. (b) 117 1,926
Intersil Corp. 106 1,781
Novellus Systems Inc. (b) 122 3,405
QLogic Corp. (b) 30 1,114
8,226
Software - 1.9%
BEA Systems Inc. (b) 287 2,544
Siebel Systems Inc. (b) 152 1,600
4,144
Telecommunications - 0.8%
MCI Inc. 91 1,835
Toys & Hobbies - 1.9%
Leapfrog Enterprises Inc. (b) (l) 105 1,429
Mattel Inc. 138 2,690
4,119
Transportation - 2.7%
CNF Inc. 67 3,352
Norfolk Southern Corp. 75 2,718
6,070
Wireless Telecommunications - 0.7%
Western Wireless Corp. (b) 52 1,518
Total Common Stocks (cost $187,039) 215,284
Short Term Investments - 9.9%
Money Market Funds - 4.0%
Dreyfus Cash Management Plus, 1.98% (a) 8,901 8,901
Securities Lending Collateral - 5.9%
Mellon GSL Delaware Business Trust Collateral Fund 13,132 13,132
Total Short Term Investments (cost $22,033) 22,033
Total Investments - 106.6% (cost $209,072) 237,317
Other Assets and Liabilities, Net - (6.6%) (14,746)
Total Net Assets - 100% $ 222,571
JNL/LAZARD SMALL CAP VALUE FUND
Percentage of Total
Industry Sector Investments (o)
Financial 19.2%
Consumer, Non-cyclical 18.7%
Industrial 17.6%
Consumer, Cyclical 12.2%
Communications 9.5%
Energy 8.6%
Technology 6.3%
Basic Materials 3.3%
Money Market Investment 2.6%
Utilities 2.0%
100.0%
Common Stocks - 97.1%
Advertising - 2.5%
Advo Inc. 82 $ 2,927
R.H. Donnelley Corp. (b) 37 2,208
5,135
Aerospace & Defense - 2.6%
DRS Technologies Inc. (b) 57 2,426
Esterline Technologies Corp. (b) 27 878
Titan Corp. (b) 114 1,845
5,149
Agriculture - 0.9%
Delta & Pine Land Co. 74 2,013
Airlines - 0.7%
Airtran Holdings Inc. (b) (l) 139 1,489
Apparel - 2.8%
Gymboree Corp. (b) 99 1,268
K-Swiss Inc. - Class A 42 1,217
Timberland Co. - Class A (b) (l) 28 1,730
Warnaco Group Inc. (b) 85 1,832
6,047
Banks - 8.2%
Bank of the Ozarks Inc. 5 160
First Community Bancorp. 33 1,396
First Midwest Bancorp. Inc. 44 1,608
First Republic Bank 25 1,346
Hudson United Bancorp. 16 646
MB Financial Corp. 13 561
Provident Bankshares Corp. 34 1,244
South Financial Group Inc. 57 1,848
Sterling Bancshares Inc. 116 1,654
Texas Regional Bancshares Inc. - Class A 32 1,029
Umpqua Holdings Corp. 44 1,102
United Bankshares Inc. 53 2,018
W Holding Co. Inc. 53 1,225
Westamerica Bancorp. 37 2,140
17,977
Biotechnology - 0.7%
Bio-Rad Laboratories Inc. - Class A (b) 1 80
Charles River Laboratories International Inc. (b) 13 618
Martek Biosciences Corp. (b) 18 937
1,635
Chemicals - 2.7%
Ferro Corp. 42 965
Olin Corp. 86 1,894
PolyOne Corp. (b) 147 1,328
Spartech Corp. 60 1,614
5,801
Commercial Services - 5.9%
Arbitron Inc. (b) 67 2,617
BearingPoint Inc. (b) 118 946
Corinthian Colleges Inc. (b) (l) 87 1,640
DeVry Inc. (b) 67 1,163
Learning Tree International Inc. (b) 120 1,609
MPS Group Inc. (b) 162 1,985
United Rentals Inc. (b) 54 1,021
Watson Wyatt & Co. Holdings 70 1,892
12,873
Computers - 2.0%
Advanced Digital Information Corp. (b) 106 1,063
BISYS Group Inc. (b) 78 1,277
Catapult Communications Corp. (b) 14 329
Komag Inc. (b) 90 1,697
4,366
Diversified Financial Services - 3.5%
Calamos Asset Management Inc. - Class A (b) 46 1,245
eSPEED Inc. (b) 165 2,039
Financial Federal Corp. 32 1,247
IndyMac Bancorp. Inc. 29 985
Knight Trading Group Inc. (b) (l) 193 2,108
7,624
Electric - 0.8%
Cleco Corp. 89 1,805
Electrical Components & Equipment - 0.6%
General Cable Corp. (b) 24 334
GrafTech International Ltd. (b) 111 1,050
1,384
Electronics - 5.2%
Benchmark Electronics Inc. (b) 44 1,487
Coherent Inc. (b) 58 1,753
Metrologic Instruments Inc. (b) 67 1,422
Photon Dynamics Inc. (b) 57 1,382
Plexus Corp. (b) 91 1,187
Rogers Corp. (b) 44 1,887
TTM Technologies Inc. (b) 197 2,325
11,443
Engineering & Construction - 1.6%
Chicago Bridge & Iron Co. NV 43 1,716
Shaw Group Inc. (b) 103 1,842
3,558
Entertainment - 0.7%
Alliance Gaming Corp. (b) (l) 110 1,514
Environmental Control - 1.6%
Tetra Tech Inc. (b) 138 2,307
Waste Connections Inc. (b) 33 1,130
3,439
Food - 0.5%
Performance Food Group Co. (b) 44 1,187
Gas - 1.2%
AGL Resources Inc. 43 1,426
New Jersey Resources Corp. 26 1,140
2,566
Healthcare - 6.8%
Beverly Enterprises Inc. (b) 226 2,069
Cutera Inc. (b) 17 207
DJ Orthopedics Inc. (b) 90 1,919
Hanger Orthopedic Group Inc. (b) 27 220
Inamed Corp. (b) 27 1,711
Kindred Healthcare Inc. (b) 79 2,354
LifePoint Hospitals Inc. (b) (l) 63 2,187
PSS World Medical Inc. (b) 134 1,671
Respironics Inc. (b) 2 87
Select Medical Corp. 136 2,388
Viasys Healthcare Inc. (b) 8 148
14,961
Home Builders - 0.5%
Winnebago Industries 29 1,129
Household Products - 1.1%
Jarden Corp. (b) 16 690
Scotts Co. - Class A (b) 24 1,750
2,440
Insurance - 3.3%
Arch Capital Group Ltd. (b) 54 2,098
Assured Guaranty Ltd. 112 2,201
Bristol West Holdings Inc. 17 332
Max Re Capital Ltd. 66 1,410
Reinsurance Group of America (l) 26 1,235
7,276
Internet - 1.8%
Avocent Corp. (b) 30 1,203
ProQuest Co. (b) 46 1,354
Verity Inc. (b) 103 1,347
3,904
Iron & Steel - 0.6%
Schnitzer Steel Industries Inc. - Class A 20 682
Steel Dynamics Inc. 18 678
1,360
Leisure Time - 0.4%
WMS Industries Inc. (b) (l) 26 859
Machinery - 0.9%
Tecumseh Products Co. 42 2,027
Manufacturing - 0.9%
Roper Industries Inc. 34 2,078
Media - 1.9%
Journal Register Co. (b) 108 2,082
Liberty Corp. 47 2,075
4,157
Mining - 0.7%
Foundation Coal Holdings Inc. (b) 67 1,552
Office Furnishings - 0.8%
Herman Miller Inc. 65 1,801
Oil & Gas Producers - 4.0%
Bill Barrett Corp. (b) 16 505
Denbury Resources Inc. (b) 44 1,205
Energy Partners Ltd. (b) 46 926
Forest Oil Corp. (b) 37 1,170
Grey Wolf Inc. (b) 224 1,181
Houston Exploration Co. (b) 25 1,402
Range Resources Corp. 61 1,245
Whiting Petroleum Corp. (b) 41 1,229
8,863
Oil & Gas Services - 2.9%
Hanover Compressor Co. (b) 106 1,498
Key Energy Services Inc. (b) 218 2,570
Maverick Tube Corp. (b) 27 818
Veritas DGC Inc. (b) 69 1,551
6,437
Packaging & Containers - 0.5%
Packaging Corp. of America 46 1,083
Pharmaceuticals - 2.6%
Able Laboratories Inc. (b) 61 1,385
Andrx Corp. (b) (l) 75 1,637
MIM Corp. (b) 223 1,415
Taro Pharmaceuticals Industries Ltd. (b) 36 1,239
5,676
Pipelines - 0.8%
Kinder Morgan Management LLC (b) 45 1,824
Real Estate - 3.2%
Alexandria Real Estate Equities Inc. 15 1,101
Capital Automotive REIT 22 782
CarrAmerica Realty Corp. 34 1,129
Inland Real Estate Corp. 28 453
Lexington Corporate Properties Trust 45 1,005
Mills Corp. 31 1,970
Prentiss Properties Trust 17 630
7,070
Retail - 6.2%
99 Cents Only Stores (b) 69 1,107
AnnTaylor Stores Corp. (b) 56 1,206
CBRL Group Inc. (l) 34 1,435
Cost Plus Inc. (b) (l) 27 864
CSK Auto Corp. (b) 74 1,240
HOT Topic Inc. (b) (l) 112 1,930
Rush Enterprises Inc. - Class A (b) 55 888
TBC Corp. (b) 57 1,593
The Sports Authority Inc. (b) 63 1,622
Tractor Supply Co. (b) 48 1,795
13,680
Savings & Loans - 0.8%
MAF Bancorp. Inc. 42 1,860
Semiconductors - 3.1%
AMIS Holdings Inc. (b) 75 1,241
Brooks Automation Inc. (b) 68 1,173
ChipMOS TECHNOLOGIES Bermuda Ltd. (b) (l) 187 1,189
Exar Corp. (b) 154 2,185
Ultratech Inc. (b) 49 913
6,701
Software - 1.3%
JDA Software Group Inc. (b) 63 854
Serena Software Inc. (b) 87 1,887
2,741
Telecommunications Equipment - 3.0%
Black Box Corp. 3 158
C-COR.net Corp. (b) 225 2,095
CommScope Inc. (b) 97 1,833
Ditech Communications Corp. (b) 49 726
Foundry Networks Inc. (b) 105 1,379
Oplink Communications Inc. (b) 202 399
6,590
Toys & Hobbies - 0.0%
Leapfrog Enterprises Inc. (b) (l) 3 38
Transportation - 3.8%
Forward Air Corp. (b) 37 1,649
OMI Corp. 89 1,491
Overnite Corp. 39 1,460
Pacer International Inc. (b) 120 2,560
Swift Transportation Co. Inc. (b) (l) 54 1,167
8,327
Wireless Telecommunications - 0.5%
Wireless Facilities Inc. (b) 111 1,043
Total Common Stocks (cost $185,519) 212,482
Short Term Investments - 9.1%
Money Market Funds - 2.6%
Dreyfus Cash Management Plus, 1.98% (a) 5,711 5,711
Securities Lending Collateral - 6.5%
Mellon GSL Delaware Business Trust Collateral Fund 14,173 14,173
Total Short Term Investments (cost $19,884) 19,884
Total Investments - 106.2% (cost $205,403) 232,366
Other Assets and Liabilities, Net - (6.2%) (13,488)
Total Net Assets - 100% $ 218,878
JNL/Mellon Capital Management Bond Index Fund
Percentage of Total
Industry Sector Investments (o)
Mortgage Securities 31.7%
Government 30.3%
Financial 26.1%
Communications 2.5%
Asset Backed Securities 1.8%
Money Market Investment 1.7%
Consumer, Non-cyclical 1.4%
Utilities 1.1%
Industrial 1.0%
Energy 1.0%
Consumer, Cyclical 0.7%
Basic Materials 0.5%
Technology 0.2%
100.0%
Corporate Bonds - 27.8%
Aerospace & Defense - 0.5%
Lockheed Martin Corp., 8.50%, 12/01/29 $75 $ 103
Northrop Grumman Corp., 7.75%, 03/01/16 (f) 150 184
Raytheon Co., 6.15%, 11/01/08 89 96
United Technologies Corp.
6.35%, 03/01/11 75 84
6.70%, 08/01/28 50 57
524
Agriculture - 0.1%
Bunge Ltd. Finance Corp., 5.35%, 04/15/14 (f) 75 77
Asset Backed Securities - 6.1%
AmeriCredit Automobile Receivables Trust
3.67%, 06/08/09 500 503
2.84%, 08/06/10 115 114
Bank of America Commercial Mortgage, 5.118%, 07/11/43 150 155
Bear Stearns Commercial Mortgage Securities,
6.80%, 07/15/31 66 69
Capital One Auto Finance Trust, 3.18%, 09/15/10 250 248
Capital One Prime Auto Receivables Trust,
2.59%, 09/15/09 150 148
Chase Manhattan Bank-First Union National Bank,
7.439%, 08/15/31 (f) 50 57
Commercial Mortgage Acceptance Corp., 6.79%, 06/15/31 54 56
CS First Boston Mortgage Securities Corp.,
6.91%, 09/15/41 195 205
DaimlerChrysler Auto Trust, 3.78%, 02/06/07 313 314
DLJ Commercial Mortgage Corp.
6.93%, 08/10/09 134 144
6.46%, 03/10/32 50 54
6.88%, 06/10/32 49 52
First Union Commercial Mortgage Securities Inc.,
6.65%, 11/18/29 83 88
First Union National Bank Commercial Mortgage Trust
7.184%, 12/15/31 26 27
7.39%, 12/15/31 105 119
First Union National Bank-Bank of America Commercial
Mortgage Trust, 6.136%, 03/15/33 301 328
First Union-Lehman Brothers-Bank of America Commercial
Mortgage Trust, 6.56%, 11/18/35 250 269
Fleet Credit Card Master Trust II, 5.60%, 12/15/08 250 258
GMAC Commercial Mortgage Securities Inc.,
6.42%, 05/15/35 100 107
Heller Financial Commercial Mortgage Asset Corp.,
6.50%, 05/15/31 64 67
Household Automotive Trust
2.31%, 04/17/08 350 347
4.37%, 12/17/08 100 101
3.02%, 12/17/10 365 361
JPMorgan Chase Commercial Mortgage Securities Corp.
5.822%, 05/12/34 250 266
5.382%, 06/12/41 (g) 250 263
JPMorgan Commercial Mortgage Finance Corp.,
6.507%, 10/15/35 (g) 35 38
LB Commercial Conduit Mortgage Trust,
6.48%, 02/18/30 200 214
6.41%, 06/15/31 100 104
6.78%, 06/15/31 223 246
LB-UBS Commercial Mortgage Trust
5.401%, 03/15/26 94 96
3.85%, 05/15/27 250 242
5.594%, 06/15/31 75 80
Merrill Lynch Mortgage Trust, 5.403%, 07/12/34 200 211
Morgan Stanley Capital I, 6.52%, 03/15/30 78 84
Morgan Stanley Dean Witter Capital I, 7.57%, 11/15/36 100 114
Morgan Stanley Floating Rate,, 4.80%, 01/13/41 250 251
Mortgage Capital Funding Inc., 7.288%, 03/20/27 14 14
PP&L Transition Bond Co. LLC, 7.05%, 06/25/09 55 59
Salomon Brothers Mortgage Securities VII,
6.168%, 02/13/10 100 106
Sears Credit Account Master Trust, 5.65%, 03/17/09 38 37
Wachovia Bank Commercial Mortgage Trust,
5.215%, 01/15/41 100 102
Wachovia Bank Floating Rate,, 5.24%, 08/15/41 250 260
WFS Financial Owner Trust, 2.41%, 12/20/10 135 132
7,110
Auto Manufacturers - 0.5%
DaimlerChrysler NA Holding Corp.
7.25%, 01/18/06 (f) 250 260
4.75%, 01/15/08 (f) 150 153
4.05%, 06/04/08 (f) 100 100
Toyota Motor Credit Corp., 2.875%, 08/01/08 (l) 100 97
610
Banks - 3.9%
ABN Amro Bank NV, 7.55%, 06/28/06 (f) 100 106
Bank of America Corp.
5.25%, 02/01/07 100 104
6.25%, 04/01/08 250 269
4.875%, 09/15/12 150 153
Barclays Bank Plc, 6.86%, 09/15/49 (e) (f) 50 56
BB&T Corp., 6.50%, 08/01/11 (f) 75 84
Corp. Andina de Fomento, 6.875%, TBA (c) (f) 150 169
European Bank for Reconstruction & Development,
5.375%, 06/15/06 100 103
European Investment Bank, 3.125%, 10/15/07 (l) 250 248
Fleet National Bank, 5.75%, 01/15/09 (f) 100 106
HSBC Holdings Plc
5.25%, 12/12/12 100 104
7.625%, 05/17/32 (e) 150 186
Inter-American Development Bank, 7.375%, 01/15/10 100 116
International Finance Corp., 5.25%, 05/02/06 100 102
Key Bank NA, 5.80%, 07/01/14 250 265
KFW International Finance, 3.25%, 03/30/09 100 98
National Australia Bank Ltd., 8.60%, 05/19/10 150 178
National City Bank, 4.625%, 05/01/13 100 99
National Westminster Bank Plc, 7.375%, 10/01/09 250 285
NB Capital Trust II, 7.83%, 12/15/26 75 82
Popular North America Inc.
6.125%, 10/15/06 150 156
4.25%, 04/01/08 100 101
Province of Ontario, 6.00%, 02/21/06 200 206
Royal Bank of Scotland Group Plc, 5.00%, 10/01/14 (l) 100 101
US Bank NA, 6.375%, 08/01/11 100 111
Wachovia Corp.
7.50%, 07/15/06 500 532
6.25%, 08/04/08 150 162
Wells Fargo & Co., 5.00%, 11/15/14 200 202
4,484
Beverages - 0.2%
Coca-Cola Enterprises Inc., 7.125%, 08/01/17 (f) 100 118
Pepsi Bottling Group Inc., 7.00%, 03/01/29 (l) 75 90
208
Chemicals - 0.3%
Dow Chemical Co.
6.125%, 02/01/11 (f) 50 55
6.00%, 10/01/12 (f) 50 55
E.I. du Pont de Nemours & Co., 4.75%, 11/15/12 (f) 100 102
Praxair Inc., 3.95%, 06/01/13 100 95
Rohm & Haas Co., 7.85%, 07/15/29 50 65
372
Commercial Services - 0.3%
Cendant Corp., 6.25%, 01/15/08 (f) 200 213
Hertz Corp., 7.625%, 06/01/12 100 110
323
Computers - 0.3%
International Business Machines Corp.,
5.375%, 02/01/09 (l) 300 317
Diversified Financial Services - 6.1%
American General Finance Corp., 4.625%, 09/01/10 (f) 150 150
Associates Corp., 6.25%, 11/01/08 (f) 300 325
Boeing Capital Corp., 5.80%, 01/15/13 (f) 125 135
Capital One Bank, 4.875%, 05/15/08 (f) 150 154
CIT Group Inc., 7.375%, 04/02/07 (f) 250 270
Citigroup Inc.
3.50%, 02/01/08 (f) 500 498
6.00%, 02/21/12 (l) 100 109
Countrywide Home Loans Inc.
5.50%, 08/01/06 (f) 75 77
4.25%, 12/19/07 (f) 250 253
Ford Motor Credit Co.6.125%, 01/09/06 250 256
7.75%, 02/15/07 100 106
7.20%, 06/15/07 100 107
5.80%, 01/12/09 (f) 100 102
7.375%, 10/28/09 250 270
7.25%, 10/25/11 75 80
General Electric Cap Corp., 5.45%, 01/15/13 250 264
General Motors Acceptance Corp.
4.50%, 07/15/06 200 200
6.75%, 01/15/06 250 256
6.125%, 09/15/06 100 103
6.125%, 02/01/07 150 154
6.125%, 08/28/07 200 206
5.85%, 01/14/09 150 152
7.25%, 03/02/11 175 183
6.875%, 09/15/11 150 154
Goldman Sachs Group Inc.
6.65%, 05/15/09 (f) 250 276
7.35%, 10/01/09 (f) 350 398
5.25%, 04/01/13 (l) 100 103
International Lease Finance Corp., 5.75%, 10/15/06 250 260
JPMorgan Chase & Co.
6.625%, 03/15/12 (l) 100 112
5.75%, 01/02/13 100 106
Merrill Lynch & Co. Inc., 7.375%, 05/15/06 100 106
Morgan Stanley Dean Witter & Co., 7.25%, 04/01/32 100 120
National Rural Utilities, 5.75%, 08/28/09 200 214
Pitney Bowes Credit Corp., 5.75%, 08/15/08 300 319
SLM Corp., 5.05%, 11/14/14 250 251
Textron Financial Corp., 6.00%, 11/20/09 250 272
7,101
Electric - 1.1%
Alabama Power Co., 5.875%, 12/01/22 (f) 100 106
Duke Energy Corp., 5.625%, 11/30/12 (f) 150 158
FPL Group Capital Inc., 7.625%, 09/15/06 100 107
Hydro Quebec, 7.50%, 04/01/16 100 123
Midamerican Energy Co., 6.75%, 12/30/31 50 58
Nisource Finance Corp., 5.40%, 07/15/14 75 77
Northern States Power Co., 8.00%, 08/28/12 100 122
Oncor Electric Delivery Co., 6.375%, 01/15/15 (f) 150 165
Pacific Gas & Electric Co., 6.05%, 03/01/34 100 104
PPL Electric Utilities Corp., 6.25%, 08/15/09 100 109
SCANA Corp., 6.875%, 05/15/11 75 84
Southern California Edison Co., 6.00%, 01/15/34 75 80
1,293
Electrical Components & Equipment - 0.1%
Emerson Electric Co., 5.00%, 12/15/14 (l) 100 102
Food - 0.9%
ConAgra Foods Inc., 7.875%, 09/15/10 (f) 200 235
Grand Metropolitan Investment Corp., 8.00%, 09/15/22 (f) 100 129
Kellogg Co., 2.875%, 06/01/08 250 243
Kraft Foods Inc., 4.625%, 11/01/06 (f) 50 51
Nabisco Inc., 7.05%, 07/15/07 (f) 200 216
Sara Lee Corp., 6.25%, 09/15/11 75 83
Unilever Capital Corp., 7.125%, 11/01/10 100 115
1,072
Forest Products & Paper - 0.1%
Weyerhaeuser Co., 7.375%, 03/15/32 100 119
Gas - 0.3%
KeySpan Corp., 6.15%, 06/01/06 100 104
Sempra Energy, 4.75%, 05/15/09 (l) 200 204
308
Healthcare - 0.1%
Baxter International Inc., 4.625%, 03/15/15 (f) 75 72
Insurance - 0.8%
Aegon NV, 4.75%, 06/01/13 (f) 150 149
Allstate Corp.
6.125%, 02/15/12 (f) 75 82
5.35%, 06/01/33 (f) 75 71
American International Group Inc., 4.25%, 05/15/13 (l) 100 97
Chubb Corp., 5.20%, 04/01/13 (f) 100 102
Hartford Life Inc., 7.65%, 06/15/27 75 90
Marsh & McLennan Cos. Inc., 3.625%, 02/15/08 100 97
Metlife Inc., 5.00%, 11/24/13 (f) 100 100
Travelers Property Casualty Corp., 6.75%, 11/15/06 100 106
894
Investment Companies - 0.3%
Credit Suisse First Boston USA Inc.
5.875%, 08/01/06 (f) 100 104
6.125%, 11/15/11 (f) 100 109
7.125%, 07/15/32 (f) 100 119
332
Manufacturing - 0.2%
Honeywell International Inc., 6.125%, 11/01/11 100 110
Tyco International Group SA, 6.125%, 01/15/09 (l) 150 162
272
Media - 0.8%
AOL Time Warner Inc., 7.625%, 04/15/31 150 181
AT&T Broadband Corp., 8.375%, TBA (c) (f) 250 308
Liberty Media Corp., 8.50%, 07/15/29 (l) 50 58
News America Inc., 6.20%, 12/15/34 (e) 50 51
Time Warner Inc., 6.625%, 05/15/29 100 108
Viacom Inc., 7.875%, 07/30/30 125 161
Walt Disney Co, 7.00%, 03/01/32 50 58
925
Mining - 0.2%
Alcan Inc., 4.875%, 09/15/12 (f) 50 51
Alcoa Inc., 5.375%, 01/15/13 (f) 50 53
BHP Billiton Finance USA Ltd., 4.80%, 04/15/13 (l) 100 101
205
Oil & Gas Producers - 1.1%
Alberta Energy Co. Ltd., 7.375%, 11/01/31(f) 100 120
Anadarko Petroleum Corp., 3.25%, 05/01/08 (f) 250 246
Burlington Resources Finance Co., 7.20%, 08/15/31 (f) 100 119
Conoco Funding Co., 7.25%, 10/15/31 (f) 75 91
ConocoPhillips, 6.65%, 07/15/18 (f) 75 86
Devon Financing Corp., 7.875%, 09/30/31 (f) 100 126
Marathon Oil Corp., 6.125%, 03/15/12 200 218
Pemex Project Funding Master Trust, 8.625%, 02/01/22 75 87
Suncor Energy Inc., 5.95%, 12/01/34 100 105
XTO Energy Inc., 4.90%, 02/01/14 (l) 75 76
1,274
Pharmaceuticals - 0.2%
Pharmacia Corp., 6.60%, 12/01/28 100 115
Schering-Plough Corp., 6.75%, 12/01/33 50 56
Wyeth, 5.50%, 03/15/13 100 104
275
Pipelines - 0.1%
Consolidated Natural Gas Co., 6.80%, 12/15/27 (f) 50 56
Kinder Morgan Energy Partners LP, 5.00%, 12/15/13 (l) 75 75
131
Real Estate - 0.3%
Boston Properties Inc., 6.25%, 01/15/13 (f) 150 163
Simon Property Group LP, 7.125%, 02/09/09 (l) 200 221
384
Retail - 0.3%
Federated Department Stores, 6.90%, 04/01/29 (l) 100 112
Target Corp., 7.00%, 07/15/31 100 122
Wal-Mart Stores Inc.
4.55%, 05/01/13 (l) 100 101
7.55%, 02/15/30 50 65
400
Telecommunications - 1.7%
Alltel Corp., 7.875%, 07/01/32 (f) 50 63
British Telecommunications Plc, 8.375%, 12/15/10 (f) (g) 250 300
Deutsche Telekom International Finance BV,
8.50%, 06/15/10 (f) 400 477
GTE Corp., 6.94%, 04/15/28 50 56
SBC Communications Inc., 5.875%, 02/01/12 100 108
Southwestern Bell Telephone Co., 7.00%, 07/01/15 100 115
Sprint Capital Corp.
6.00%, 01/15/07 150 157
6.875%, 11/15/28 75 82
Telecom Italia Capital SA, 6.375%, 11/15/33 (l) 50 51
Telefonica Europe BV, 8.25%, 09/15/30 (l) 100 134
TELUS Corp., 7.50%, 06/01/07 125 136
Verizon Global Funding Corp.
7.25%, 12/01/10 250 286
7.75%, 12/01/30 50 62
2,027
Transportation - 0.4%
Burlington Northern Santa Fe Corp., 5.90%, 07/01/12 (f) 150 162
Norfolk Southern Corp., 7.25%, 02/15/31 75 90
Union Pacific Corp., 6.625%, 02/01/08 250 272
524
Wireless Telecommunications - 0.5%
AT&T Wireless Services Inc.
7.50%, 05/01/07 (f) 250 272
8.75%, 03/01/31 (f) 108 146
Verizon Wireless Capital LLC, 5.375%, 12/15/06 200 206
624
Total Corporate Bonds (cost $32,008) 32,359
Government Securities - 71.4%
Sovereign - 2.1%
Canadian Government Bond, 6.75%, 08/28/06 100 106
Chile Government International Bond, 5.50%, 01/15/13 100 105
Financement-Quebec, 5.00%, 10/25/12 100 103
Inter-American Development Bank
5.375%, 01/18/06 100 102
6.125%, 03/08/06 100 104
International Bank for Reconstruction & Development,
4.375%, 09/28/06 (l) 300 306
Nova Scotia Province, 5.75%, 02/27/12 100 109
Province of British Columbia, 4.625%, 10/03/06 (l) 100 102
Province of Quebec
5.75%, 02/15/09 125 134
7.50%, 07/15/23 100 127
Republic of Italy
2.50%, 03/31/06 100 99
4.375%, 06/15/13 100 99
5.375%, 06/15/33 100 100
Republic of Korea, 8.875%, 04/15/08 300 348
State of Israel, 4.625%, 06/15/13 75 72
United Mexican States
6.375%, 01/16/13 150 161
7.50%, 04/08/33 250 271
2,448
U.S. Government Agencies - 47.2%
Federal Home Loan Bank, 2.95%, 09/14/06 (l) 100 100
Federal Home Loan Mortgage Corp.
4.00%, TBA (c) 900 879
4.50%, TBA (c) 200 199
5.00%, TBA (c) 4,800 4,813
5.50%, TBA (c) 3,300 3,382
6.00%, TBA (c) 2,700 2,795
6.50%, TBA (c) 1,200 1,259
2.00%, 02/27/06 100 99
2.50%, 03/15/06 1,520 1,510
2.75%, 08/15/06 (l) 610 606
3.00%, 09/29/06 200 199
2.75%, 10/15/06 920 913
2.375%, 02/15/07 (l) 800 785
2.875%, 05/15/07 (l) 1,200 1,188
3.30%, 09/14/07 (l) 100 100
3.375%, 09/14/07 1,075 1,074
4.25%, 05/04/09 (l) 200 200
4.125%, 09/01/09 (l) 100 100
4.125%, 02/24/11 500 492
5.50%, 09/15/11 (l) 500 537
5.75%, 05/15/12 (l) 325 356
5.125%, 07/15/12 98 103
4.625%, 05/28/13 75 75
6.50%, 06/01/14 224 238
7.00%, 06/01/15 17 18
7.00%, 08/01/15 66 70
7.00%, 11/01/15 3 3
7.00%, 11/01/16 158 168
6.00%, 12/01/16 102 107
4.50%, 01/01/18 80 80
5.50%, 04/01/18 57 59
4.00%, 05/01/19 72 70
5.00%, 07/01/19 177 180
6.50%, 12/01/28 147 154
6.50%, 05/01/29 54 56
6.50%, 03/01/31 69 72
7.00%, 06/01/31 38 40
7.50%, 11/01/31 354 379
7.50%, 04/01/32 520 557
6.25%, 07/15/32 200 229
5.50%, 04/01/33 235 239
6.00%, 04/01/33 15 16
4.50%, 10/01/33 10 10
Federal National Mortgage Association
4.50%, TBA (c) 3,500 3,488
5.00%, TBA (c) 5,200 5,210
5.50%, TBA (c) 4,400 4,473
2.25%, 02/28/06 150 149
3.41%, 08/30/07 100 100
3.25%, 01/15/08 330 327
2.50%, 06/15/08 355 342
3.25%, 08/15/08 (l) 1,140 1,125
4.25%, 05/15/09 200 203
6.625%, 09/15/09 (l) 900 1,005
5.375%, 11/15/11 500 533
4.625%, 10/15/13 (l) 485 490
4.125%, 04/15/14 (l) 400 388
6.50%, 02/01/16 110 117
6.00%, 06/01/16 181 190
6.50%, 09/01/16 33 35
6.50%, 10/01/16 61 65
6.50%, 12/01/16 2 2
5.50%, 03/01/17 60 62
5.00%, 10/01/17 84 85
4.00%, 10/01/18 163 160
6.25%, 05/15/29 (l) 450 512
6.625%, 11/15/30 (l) 160 191
7.00%, 02/01/31 265 280
5.50%, 01/01/32 418 425
6.50%, 07/01/32 162 170
6.00%, 02/01/33 406 421
4.50%, 11/01/33 666 645
5.00%, 06/01/34 291 289
5.50%, 07/01/34 1,740 1,767
6.50%, 07/01/34 1,573 1,650
6.00%, 08/01/34 1,585 1,639
Government National Mortgage Association
5.00%, TBA (c) 500 500
5.50%, TBA (c) 1,000 1,020
6.00%, TBA (c) 1,000 1,036
8.00%, 04/15/30 65 71
8.50%, 06/15/30 52 57
8.50%, 12/15/30 3 3
6.50%, 01/15/32 249 263
6.00%, 10/15/32 258 267
5.50%, 07/15/33 702 718
54,982
U.S. Treasury Securities - 22.1%
U.S. Treasury Bond
2.50%, 05/31/06 (l) 1,450 1,442
11.25%, 02/15/15 (l) 880 1,383
7.25%, 05/15/16 (l) 270 338
8.75%, 05/15/17 (l) 715 1,002
8.875%, 02/15/19 (l) 645 928
8.00%, 11/15/21 (l) 980 1,345
7.125%, 02/15/23 (l) 735 938
6.875%, 08/15/25 (l) 290 365
6.75%, 08/15/26 (l) 200 249
6.50%, 11/15/26 (l) 360 437
6.375%, 08/15/27 (l) 120 144
5.25%, 02/15/29 (l) 495 519
6.25%, 05/15/30 (l) 350 418
U.S. Treasury Note
4.625%, 05/15/06 (l) 2,270 2,322
4.375%, 05/15/07 (l) 730 750
3.25%, 08/15/07 (l) 320 320
3.00%, 11/15/07 (l) 2,140 2,127
3.375%, 11/15/08 (l) 810 808
3.375%, 12/15/08 (l) 1,050 1,047
5.50%, 05/15/09 310 335
3.375%, 10/15/09 (l) 1,500 1,485
6.50%, 02/15/10 (l) 1,645 1,862
5.75%, 08/15/10 (l) 390 429
4.875%, 02/15/12 (l) 1,095 1,158
4.375%, 08/15/12 (l) 555 569
3.875%, 02/15/13 (l) 875 864
3.625%, 05/15/13 (l) 600 582
4.25%, 08/15/14 (l) 650 652
4.25%, 11/15/14 (l) 890 892
25,710
Total Government Securities (cost $82,828) 83,140
Municipals - 0.2%
Illinois St Taxable Pension, 5.10%, 06/01/33 200 192
New Jersey State Turnpike Authority, 4.252%, 01/01/16 100 96
Total Municipals (cost $278) 288
Short Term Investments - 54.5%
Commercial Paper - 21.7%
Barclays US Funding, 2.285%, 01/10/05 (f) 3,000 2,998
Caterpillar Financial Services, 2.27%, 01/13/05 (f) 3,100 3,098
Citigroup Global Markets Holding Inc., 2.28%, 01/10/05(f)4,000 3,998
General Electric Capital Corp., 6.54%, 01/10/05 (f) 2,400 2,396
International Lease Finance Corp., 2.16%, 01/18/05 (f) 3,500 3,496
Paccar Financial Corp., 2.28%, 01/12/05 (f) 3,200 3,198
Rabobank USA Corp., 2.245%, 01/13/05 (f) 3,000 2,998
Royal Bank of Scotland, 2.25%, 01/11/05 (f) 3,000 2,997
25,179
Money Market Funds - 2.0%
Dreyfus Cash Management Plus, 1.98% (a) (n) 2,377 2,377
Securities Lending Collateral - 30.8%
Mellon GSL Delaware Business Trust Collateral Fund (n) 35,856 35,856
Total Short Term Investments (cost $63,412) 63,412
Total Investments - 153.9% (cost $178,526) 179,199
Other Assets and Liabilities, Net - (53.9%) (62,742)
Total Net Assets - 100% $ 116,457
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Percentage of Total
Industry Sector Investments (o)
Financial 20.4%
Consumer, Non-cyclical 19.5%
Technology 12.7%
Industrial 11.4%
Consumer, Cyclical 10.5%
Communications 9.2%
Energy 6.4%
Money Market Investment 4.0%
Basic Materials 3.9%
Utilities 1.7%
Government 0.3%
100.0%
Common Stocks - 97.1%
Aerospace & Defense - 1.4%
Lockheed Martin Corp. 21 $ 1,152
Northrop Grumman Corp. 20 1,109
Raytheon Co. 15 588
2,849
Agriculture - 0.4%
Archer-Daniels-Midland Co. 30 663
Airlines - 0.1%
Southwest Airlines Co. 12 201
Auto Manufacturers - 0.7%
Ford Motor Co. (l) 62 911
General Motors Corp. (l) 4 165
Navistar International Corp. (b) (l) 1 40
PACCAR Inc. 3 239
1,355
Auto Parts & Equipment - 0.1%
Cooper Tire & Rubber Co. 2 32
Dana Corp. 6 106
138
Banks - 6.7%
Bank of America Corp. 77 3,638
Fifth Third Bancorp. 15 708
First Horizon National Corp. 11 470
Huntington Bancshares Inc. 26 632
North Fork Bancorp. Inc. 34 969
State Street Corp. 6 275
SunTrust Banks Inc. 16 1,204
US Bancorp. 1 16
Wachovia Corp. 36 1,916
Wells Fargo & Co. 38 2,385
12,213
Beverages - 3.0%
Anheuser-Busch Cos. Inc. 15 773
Brown-Forman Corp. - Class B 4 202
Coca-Cola Co. 54 2,263
Coca-Cola Enterprises Inc. 2 47
PepsiCo Inc. 41 2,129
5,414
Biotechnology - 1.3%
Amgen Inc. (b) 20 1,281
Biogen Idec Inc. (b) 5 306
Chiron Corp. (b) 2 64
Genzyme Corp. (b) 4 205
Medimmune Inc. (b) 3 74
Millipore Corp. (b) 8 419
2,349
Building Materials - 0.0%
Vulcan Materials Co. 1 49
Chemicals - 2.9%
Ashland Inc. - 18
Dow Chemical Co. 31 1,555
E.I. du Pont de Nemours & Co. 33 1,627
Eastman Chemical Co. (l) 16 929
Engelhard Corp. 2 64
International Flavors & Fragrances Inc. 2 73
PPG Industries Inc. 15 1,009
5,275
Commercial Services - 0.5%
Apollo Group Inc. (b) (l) 5 414
Cendant Corp. 12 273
Deluxe Corp. 1 30
H&R Block Inc. 3 132
R.R. Donnelley & Sons Co. 2 87
936
Computers - 4.4%
Affiliated Computer Services Inc. - Class A (b) (l) 3 187
Apple Computer Inc. (b) 19 1,218
Dell Inc. (b) 42 1,754
EMC Corp. (b) 96 1,431
Hewlett-Packard Co. 4 87
International Business Machines Corp. 34 3,303
7,980
Cosmetics & Personal Care - 2.7%
Avon Products Inc. 15 570
Colgate-Palmolive Co. 12 600
Gillette Co. 34 1,517
Procter & Gamble Co. 41 2,274
4,962
Diversified Financial Services - 8.0%
American Express Co. 11 618
Bear Stearns Cos. Inc. 2 205
Charles Schwab Corp. 85 1,012
Citigroup Inc. 89 4,304
Fannie Mae 15 1,054
Goldman Sachs Group Inc. 15 1,574
JPMorgan Chase & Co. 33 1,304
Lehman Brothers Holdings Inc. 8 656
Merrill Lynch & Co. Inc. 15 867
Morgan Stanley 30 1,646
SLM Corp. 24 1,266
14,506
Electric - 1.7%
Ameren Corp. (l) 11 531
Centerpoint Energy Inc. 2 17
Constellation Energy Group Inc. 6 271
Edison International 5 157
Exelon Corp. 14 629
PG&E Corp. (b) 6 213
Southern Co. (l) 16 534
TXU Corp. (l) 11 711
3,063
Electrical Components & Equipment - 0.4%
Emerson Electric Co. 7 456
Molex Inc. 8 233
689
Electronics - 0.9%
Agilent Technologies Inc. (b) 38 925
Tektronix Inc. 22 653
1,578
Environmental Control - 0.1%
Waste Management Inc. 8 249
Food - 0.6%
General Mills Inc. 6 278
H.J. Heinz Co. 11 409
Kellogg Co. 6 282
WM.Wrigley Jr. Co. 3 173
1,142
Forest Products & Paper - 0.4%
International Paper Co. 5 210
MeadWestvaco Corp. 3 88
Plum Creek Timber Co. Inc. 3 103
Temple-Inland Inc. 1 54
Weyerhaeuser Co. 4 248
703
Healthcare - 4.9%
Aetna Inc. 3 329
Bausch & Lomb Inc. 14 928
Biomet Inc. 1 43
Boston Scientific Corp. (b) 16 560
Johnson & Johnson 52 3,302
Manor Care Inc. 6 223
Medtronic Inc. 33 1,636
Stryker Corp. - 14
Tenet Healthcare Corp. (b) 3 32
UnitedHealth Group Inc. 10 893
WellPoint Inc. (b) 9 980
Zimmer Holdings Inc. (b) (l) - 17
8,957
Home Builders - 0.5%
KB Home 6 668
Pulte Homes Inc. 4 268
936
Insurance - 5.2%
ACE Ltd. 5 205
AFLAC Inc. 8 311
Allstate Corp. 19 989
AMBAC Financial Group Inc. 2 140
American International Group Inc. 41 2,717
AON Corp. 5 126
Chubb Corp. 3 223
Cigna Corp. 2 163
Cincinnati Financial Corp. 21 936
Hartford Financial Services Group Inc. 5 347
Jefferson-Pilot Corp. 2 109
Lincoln National Corp. 3 126
Loews Corp. 3 197
Marsh & McLennan Cos. Inc. 9 291
MetLife Inc. 13 514
MGIC Investment Corp. 2 103
Progressive Corp. 3 255
Prudential Financial Inc. 9 482
Safeco Corp. 11 564
St. Paul Cos. Inc. 12 456
UnumProvident Corp. (l) 5 90
XL Capital Ltd. 2 163
9,507
Internet - 0.7%
eBay Inc. (b) 3 403
Yahoo! Inc. (b) 25 931
1,334
Iron & Steel - 0.1%
Nucor Corp. 2 115
United States Steel Corp. 2 87
202
Leisure Time - 0.7%
Brunswick Corp. 15 738
Sabre Holdings Corp. 21 454
1,192
Lodging - 1.2%
Marriott International Inc. - Class A 18 1,122
Starwood Hotels & Resorts Worldwide Inc. 19 1,127
2,249
Machinery - 1.7%
Caterpillar Inc. 8 787
Deere & Co. 16 1,187
Rockwell Automation Inc. 21 1,060
3,034
Manufacturing - 5.4%
3M Co. 19 1,583
Danaher Corp. (l) 3 170
Dover Corp. 10 428
Eaton Corp. 10 724
General Electric Capital Corp. 141 5,162
Ingersoll-Rand Co. - Class A 7 541
Parker Hannifin Corp. 14 1,022
Tyco International Ltd. 6 216
9,846
Media - 3.8%
Clear Channel Communications Inc. 17 574
Comcast Corp. - Class A (b) 30 987
Meredith Corp. (l) 17 900
News Corp Inc. 17 325
Time Warner Inc. (b) 72 1,394
Univision Communications Inc. (b) 18 532
Viacom Inc. - Class B 29 1,065
Walt Disney Co. 38 1,048
6,825
Metal Fabrication & Hardware - 0.0%
Worthington Industries 2 33
Mining - 0.5%
Alcoa Inc. 13 422
Freeport-McMoRan Copper & Gold Inc. 3 107
Newmont Mining Corp. (l) 7 308
Phelps Dodge Corp. 1 89
926
Office & Business Equipment - 0.1%
Pitney Bowes Inc. 3 143
Oil & Gas Producers - 6.0%
Apache Corp. 8 406
Burlington Resources Inc. 10 435
ChevronTexaco Corp. 46 2,435
ConocoPhillips 7 625
EOG Resources Inc. 4 285
Exxon Mobil Corp. 107 5,491
Kerr-McGee Corp. 5 315
Nabors Industries Ltd. (b) 18 933
Unocal Corp. - 14
10,939
Oil & Gas Services - 0.3%
BJ Services Co. 8 377
Halliburton Co. 5 199
576
Packaging & Containers - 0.0%
Ball Corp. 2 70
Pharmaceuticals - 5.1%
Abbott Laboratories 25 1,167
Cardinal Health Inc. 11 628
Eli Lilly & Co. 20 1,130
Forest Laboratories Inc. (b) 4 166
Gilead Sciences Inc. (b) 7 234
Merck & Co. Inc. 35 1,115
Pfizer Inc. 140 3,759
Watson Pharmaceuticals Inc. (b) 3 92
Wyeth 21 887
9,178
Pipelines - 0.1%
El Paso Corp. 10 106
Williams Cos. Inc. 9 142
248
Real Estate - 0.4%
Apartment Investment & Management Co. 2 58
Archstone-Smith Trust 3 107
Equity Office Properties Trust 6 176
Equity Residential 3 119
ProLogis 2 87
Simon Property Group Inc. 3 213
760
Retail - 7.3%
Autozone Inc. (b) 3 265
Bed Bath & Beyond Inc. (b) 3 110
Best Buy Co. Inc. 13 790
Circuit City Stores Inc. 16 256
Costco Wholesale Corp. (l) 23 1,126
CVS Corp. 5 246
Gap Inc. (l) 45 951
Home Depot Inc. 41 1,768
Lowe's Cos. Inc. 13 737
McDonald's Corp. 19 606
Nordstrom Inc. 21 995
RadioShack Corp. 2 49
Staples Inc. 34 1,137
Walgreen Co. 15 589
Wal-Mart Stores Inc. 67 3,554
13,179
Savings & Loans - 0.4%
Golden West Financial Corp. 11 688
Semiconductors - 3.4%
Applied Materials Inc. (b) 64 1,093
Freescale Semiconductor Inc. (b) 6 114
Intel Corp. 81 1,895
KLA-Tencor Corp. (b) (l) 2 84
Linear Technology Corp. 25 981
Maxim Integrated Products Inc. 5 212
National Semiconductor Corp. 2 32
PMC - Sierra Inc. (b) (l) 9 106
Texas Instruments Inc. 64 1,582
6,099
Software - 5.1%
Computer Associates International Inc. (l) 10 317
First Data Corp. 7 295
Fiserv Inc. (b) 25 1,013
Microsoft Corp. 170 4,530
Oracle Corp. (b) 139 1,904
Siebel Systems Inc. (b) 7 78
Veritas Software Corp. (b) 38 1,087
9,224
Telecommunications - 2.0%
AT&T Corp. 12 232
Citizens Communications Co. 4 51
Qwest Communications International Inc. (b) 27 120
SBC Communications Inc. 39 1,009
Sprint Corp. - FON Group 22 552
Verizon Communications Inc. 39 1,588
3,552
Telecommunications Equipment - 2.0%
Avaya Inc. (b) 6 110
CIENA Corp. (b) 8 28
Cisco Systems Inc. (b) 57 1,109
Comverse Technology Inc. (b) 19 462
Corning Inc. (b) 69 814
Lucent Technologies Inc. (b) 52 194
Tellabs Inc. (b) 104 892
3,609
Textiles - 0.1%
Cintas Corp. 2 105
Tobacco - 1.2%
Altria Group Inc. 31 1,916
Reynolds American Inc. 2 193
UST Inc. (l) 2 106
2,215
Transportation - 1.5%
Burlington Northern Santa Fe Corp. 6 265
CSX Corp. 1 52
FedEx Corp. 4 439
Norfolk Southern Corp. 6 214
Ryder System Inc. - 14
Union Pacific Corp. 3 200
United Parcel Service Inc. 17 1,485
2,669
Wireless Telecommunications - 0.9%
Nextel Communications Inc. (b) 46 1,385
Qualcomm Inc. 5 224
1,609
Total Common Stocks (cost $162,074) 176,218
Warrants - 0.0%
Telecommunications Equipment - 0.0%
Lucent Technologies Inc., Strike Price $2.75,
Expiring 12/10/07 1 1
Total Warrants (cost $0) 1
Short Term Investments - 8.2%
Money Market Funds - 4.0%
Dreyfus Cash Management Plus, 1.98% (a) (n) 7,339 7,339
Securities Lending Collateral - 3.8%
Mellon GSL Delaware Business Trust Collateral Fund (n) 6,898 6,898
U.S. Treasury Bills - 0.3%
U.S. Treasury Bill, 2.21%, 03/17/05 (m) $580 577
Total Short Term Investments (cost $14,814) 14,814
Total Investments - 109.7% (cost $176,888) 191,033
Other Assets and Liabilities, Net - (9.7%) (9,585)
Total Net Assets - 100% $ 181,448
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Percentage of Total
Industry Sector Investments (o)
Financial 26.6%
Consumer, Non-cyclical 16.2%
Communications 11.5%
Consumer, Cyclical 10.4%
Industrial 10.1%
Energy 7.8%
Basic Materials 5.7%
Utilities 5.1%
Money Market Investment 3.2%
Technology 2.5%
Diversified 0.7%
Government 0.2%
100.0%
Common Stocks - 96.2%
Advertising - 0.3%
Aegis Group Plc 38 $ 79
Asatsu-DK Inc. 1 23
Dentsu Inc. - 127
Publicis Groupe 4 134
Telefonica Publicidad e Informacion SA 5 49
WPP Group Plc 36 392
804
Aerospace & Defense - 0.5%
BAE Systems Plc 98 435
Cobham Plc 3 80
European Aeronautic Defense and Space Co. 8 225
Finmeccanica SpA 192 174
Meggitt Plc 14 70
Rolls-Royce Group Plc (b) 49 233
Sagem SA 3 66
Thales SA 2 118
Zodiac SA 1 58
1,459
Airlines - 0.2%
Air France 4 77
All Nippon Airways Co. Ltd. 17 59
British Airways Plc (b) 17 77
Cathay Pacific Airways Ltd. 31 59
Deutsche Lufthansa AG (b) 7 106
Iberia Lineas Aereas de Espana SA 16 54
Japan Airlines System Corp. (b) 23 67
Qantas Airways Ltd. 29 84
Ryanair Holdings Plc (b) 1 7
SAS AB (b) 2 21
Singapore Airlines Ltd. 18 126
737
Alternative Energy - 0.0%
Gamesa Corp. Tecnologica SA 3 46
Apparel - 0.2%
Adidas-Salomon AG 1 241
Benetton Group SpA 2 24
Gunze Ltd. 5 23
Hermes International - 54
Onward Kashiyama Co. Ltd. 5 73
Puma AG Rudolf Dassler Sport 1 145
Tokyo Style Co. Ltd. 2 23
Wacoal Corp. 3 36
World Co. Ltd. 1 42
Yue Yuen Industrial Holdings 14 37
698
Auto Manufacturers - 3.0%
DaimlerChrysler AG 28 1,320
Fiat SpA (b) 17 138
Hino Motors Ltd. 7 52
Honda Motor Co. Ltd. 24 1,259
Nissan Motor Co. Ltd. 80 864
Peugeot SA 6 350
Renault SA 6 500
Scania AB - Class B 3 125
Toyota Motor Corp. 92 3,760
Volkswagen AG 7 326
Volvo AB 3 113
Volvo AB 7 285
9,092
Auto Parts & Equipment - 0.7%
Aisin Seiki Co. Ltd. 5 127
Bridgestone Corp. 21 418
Compagnie Generale des Etablissements Michelin - Class B 5 291
Continental AG 4 249
Denso Corp. 17 458
GKN Plc 24 107
Koyo Seiko Co. Ltd. 3 42
NGK Spark Plug Co. Ltd. 5 52
Nok Corp. 3 97
Nokian Renkaat Oyj - 43
Pirelli & Co. SpA 56 76
Sanden Corp. 3 19
Toyoda Gosei Co. Ltd. 2 35
Valeo SA 2 99
2,113
Banks - 17.9%
77 Bank Ltd. 10 70
ABN Amro Holding NV 50 1,324
Allied Irish Banks Plc 28 575
Alpha Bank A.E. 6 224
Australia & New Zealand Banking Group Ltd. 58 939
Banca Antonveneta SpA (b) 7 196
Banca Intesa SpA 29 124
Banca Intesa SpA 104 502
Banca Monte dei Paschi di Siena SpA 35 124
Banca Nazionale del Lavoro SpA (b) 53 158
Banca Popolare di Milano SCRL 12 110
Banche Popolari Unite Scrl 11 221
Banco Bilbao Vizcaya Argentaria SA 103 1,828
Banco BPI SA 10 41
Banco Comercial Portugues SA 55 142
Banco Espirito Santo SA 3 59
Banco Popolare di Verona 12 245
Banco Popular Espanol 5 340
Banco Santander Central Hispano SA 190 2,357
Bank Austria Creditanstalt AG 1 102
Bank of East Asia 44 137
Bank of Fukuoka Ltd. 17 112
Bank of Ireland 31 516
Bank of Yokohama Ltd. 39 246
Barclays Plc 206 2,322
Bayerische Hypo-und Vereinsbank AG (b) 20 447
BNP Paribas SA 25 1,842
BOC Hong Kong Holdings Ltd. 118 224
Capitalia SpA 46 209
Chiba Bank Ltd. 23 154
Commercial Bank of Greece 2 52
Commerzbank AG (b) 14 289
Commonwealth Bank of Australia 40 1,005
Credit Agricole SA 21 639
Credit Suisse Group (b) 36 1,527
Danske Bank A/S 15 445
DBS Group Holdings Ltd. 36 355
Depfa Bank Plc 12 195
Deutsche Bank AG 16 1,450
Dexia 20 464
DnB Holding ASA 21 205
EFG Eurobank Ergasias SA 6 205
Erste Bank der Oesterreichischen Sparkassen AG 4 204
FinecoGroup SpA (b) 5 36
Fortis 37 1,033
Gunma Bank Ltd. 12 70
Hang Seng Bank Ltd. 25 342
HBOS Plc 124 2,026
Hokugin Financial Group Inc. 37 101
HSBC Holdings Plc 354 5,980
Hypo Real Estate Holding Inc. (b) 4 173
Joyo Bank Ltd. 21 102
KBC Bancassurance Holding 3 268
Lloyds TSB Group Plc 179 1,625
Mitsubishi Tokyo Financial Group Inc. - 1,482
Mitsui Trust Holdings Inc. 17 170
Mizuho Financial Group Inc. - 1,254
National Australia Bank Ltd. 49 1,105
National Bank of Greece SA 8 279
Nordea AB 70 711
Oversea-Chinese Banking Corp. Ltd. 34 281
Piraeus Bank SA 6 97
Resona Holdings Inc. (b) 143 290
Royal Bank of Scotland Group Plc 100 3,376
Sanpaolo IMI SpA 33 475
Shinsei Bank Ltd. 18 123
Shizuoka Bank Ltd. 18 171
Skandinaviska Enskilda Banken AB 15 288
Societe Generale 11 1,078
Sumitomo Mitsui Financial Group Inc. - 945
Sumitomo Trust & Banking Co. Ltd. 38 275
Suncorp-Metway Ltd. 17 229
Suruga Bank Ltd. 7 56
Svenska Handelsbanken AB - Class B 17 453
UBS AG 34 2,871
UFJ Holdings Inc. (b) - 739
UniCredito Italiano SpA 141 810
United Overseas Bank Ltd. 38 321
Westpac Banking Corp. 57 869
53,430
Beverages - 1.3%
Asahi Breweries Ltd. 12 151
Carlsberg A/S 1 52
Coca-Cola Amatil Ltd. 15 94
Coca-Cola Hellenic Bottling Co. SA 3 67
Coca-Cola West Japan Co. Ltd. 1 36
Diageo Plc 98 1,394
Foster's Group Ltd. 64 288
Fraser & Neave Ltd. 6 57
Heineken NV 8 258
Interbrew 6 219
ITO EN Ltd. 1 42
Kirin Brewery Co. Ltd. 22 217
Lion Nathan Ltd. 10 69
Pernod-Ricard 2 257
SABMiller Plc 25 419
Sapporo Holdings Ltd. 10 47
Scottish & Newcastle Plc 26 220
Southcorp Ltd. (b) 21 69
Takara Holdings Inc. 5 32
3,988
Biotechnology - 0.1%
Novozymes A/S 2 93
Qiagen NV (b) 4 48
Zeltia SA 5 34
175
Building Materials - 1.5%
Asahi Glass Co. Ltd. 24 265
Boral Ltd. 20 105
BPB Plc 16 149
Central Glass Co. Ltd. 7 50
Cie de Saint-Gobain 10 601
Cimpor Cimentos de Portugal SA 5 31
CRH Plc 17 456
CSR Ltd. 27 57
Daikin Industries Ltd. 6 185
Fletcher Building Ltd. 15 70
FLS Industries A/S (b) 1 15
Geberit AG - 82
Hanson Plc 23 202
HeidelbergCement AG 2 111
Holcim Ltd. 5 316
Imerys SA 1 82
Italcementi SpA 3 42
James Hardie Industries NV 13 71
Kingspan Group Plc 4 39
Lafarge SA 5 523
Matsushita Electric Works Ltd. 9 78
Nippon Sheet Glass Co. Ltd. 10 41
Pilkington Plc 33 70
Rinker Group Ltd. 30 253
Rinnai Corp. 1 32
RMC Group Plc 9 141
Sanwa Shutter Corp. 5 28
Sumitomo Osaka Cement Co. Ltd. 10 24
Taiheiyo Cement Corp. 28 70
Tenon Ltd. (b) 4 6
Tenon Ltd. (b) 3 4
Titan Cement Co. SA 2 56
Tostem Inax Holding Corp. 8 145
Wienerberger AG 2 93
4,493
Chemicals - 2.4%
Air Liquide SA 3 646
Akzo Nobel NV 9 374
Asahi Kasei Corp. 40 200
BASF AG 17 1,202
Bayer AG 21 712
BOC Group Plc 16 301
Ciba Specialty Chemicals AG (b) 2 168
Clariant AG 8 122
Daicel Chemical Industries Ltd. 9 51
Dainippon Ink and Chemicals Inc. 21 48
Denki Kagaku Kogyo KK 14 47
DSM NV 2 155
Givaudan - 146
Hitachi Chemical Co. Ltd. 3 59
Imperial Chemical Industries Plc 38 174
Ishihara Sangyo Kaisha Ltd. 10 23
Johnson Matthey Plc 7 137
JSR Corp. 6 123
Kaneka Corp. 9 102
Kansai Paint Co. Ltd. 6 36
Kingboard Chemicals Holdings 14 30
Lonza Group AG 1 73
Mitsubishi Chemical Corp. 52 158
Mitsubishi Gas Chemical Co. Inc. 11 52
Mitsui Chemicals Inc. 18 98
Nippon Kayaku Co. Ltd. 4 22
Nippon Sanso Corp. 8 47
Nippon Shokubai Co. Ltd. 4 35
Nissan Chemical Industries Ltd. 5 39
Nitto Denko Corp. 5 285
Shin-Etsu Chemical Co. Ltd. 12 475
Showa Denko KK 29 75
Solvay SA 2 225
Sumitomo Bakelite Co. Ltd. 5 32
Sumitomo Chemical Co. Ltd. 43 211
Syngenta AG (b) 3 365
Tosoh Corp. 16 72
Ube Industries Ltd. (b) 29 49
Yara International ASA (b) 7 92
Zeon Corp. 5 42
7,303
Commercial Services - 1.2%
Abertis Infraestructuras SA 8 183
Adecco SA 4 212
Aggreko Plc 8 26
Autoroutes du Sud de la France 2 116
Autostrade SpA 8 215
Benesse Corp. 2 67
Brambles Industries Ltd. 31 168
Brambles Industries Plc 24 118
Brisa-Auto Estradas de Portugal SA 11 101
Bunzl Plc 14 115
Capita Group Plc 21 151
Cintra Concesiones de Infraestructuras
de Transporte SA (b) 6 69
Dai Nippon Printing Co. Ltd. 21 337
Davis Service Group Plc 7 55
De La Rue Plc 6 37
Goodwill Group Inc. - 32
Group 4 Securicor Plc (b) 36 96
Hays Plc 53 127
Intertek Group Plc 5 72
ISS A/S 1 75
Kamigumi Co. Ltd. 8 64
Kidde Plc 26 84
Nichii Gakkan Co. 1 26
Randstad Holdings NV 1 55
Rank Group Plc 19 95
Rentokil Initial Plc 59 169
Securitas AB 9 158
Serco Group Plc 14 63
SGS Societe Generale Surveillance Holding SA - 99
TIS Inc. 1 53
Toppan Printing Co. Ltd. 18 199
Transurban Group 17 89
Vedior NV 5 82
3,608
Computers - 0.5%
Atos Origin SA (b) 1 89
Cap Gemini SA (b) 4 125
Computershare Ltd. 13 56
Creative Technology Ltd. 2 30
CSK Corp. 2 91
Fujitsu Ltd. 57 371
Getronics NV (b) 17 38
Indra Sistemas SA 4 68
Itochu Techno-Science Corp. 1 36
LogicaCMG Plc 22 83
Logitech International SA (b) 1 86
Meitec Corp. 1 45
NET One Systems Co. Ltd. - 71
Obic Co. Ltd. - 40
TDK Corp. 4 289
Tietoenator Oyj 3 92
WM-Data AB 12 25
1,635
Cosmetics & Personal Care - 0.5%
Aderans Co. Ltd. 1 25
Beiersdorf AG 1 63
Kanebo Ltd. (b) 2 23
Kao Corp. 17 435
L'Oreal SA 10 736
Oriflame Cosmetics SA (b) 1 23
Shiseido Co. Ltd. 11 159
Uni-Charm Corp. 1 63
1,527
Distribution & Wholesale - 0.7%
Cycle & Carriage Ltd. 4 25
Esprit Holdings Ltd. 29 172
Hagemeyer NV (b) 19 43
Inchcape Plc 2 93
Itochu Corp. (b) 42 194
Li & Fung Ltd. 48 81
Marubeni Corp. 39 108
Mitsubishi Corp. 36 459
Mitsui & Co. Ltd. 40 359
Nissho Iwai-Nichimen Holdings Corp. (b) 7 29
Sumitomo Corp. 29 250
Wolseley Plc 19 351
2,164
Diversified Financial Services - 1.7%
Acom Co. Ltd. 2 168
Aeon Credit Service Co. Ltd. 1 53
Aiful Corp. 1 148
Amvescap Plc 24 145
Australian Stock Exchange Ltd. 3 48
Banca Fideuram SpA 10 50
Cattles Plc 10 70
Close Brothers Group Plc 4 51
Credit Saison Co. Ltd. 4 160
D. Carnegie & Co. AB 1 18
Daiwa Securities Group Inc. 38 274
Deutsche Boerse AG 3 200
Euronext NV 3 95
Hitachi Capital Corp. 2 37
Hong Kong Exchanges and Clearing Ltd. 32 86
ICAP Plc 15 79
Irish Life & Permanent Plc 8 156
London Stock Exchange Plc 9 96
Macquarie Bank Ltd. 7 259
Man Group Plc 9 257
Mediobanca SpA 15 236
MLP AG 2 35
Nikko Cordial Corp. 49 260
Nomura Holdings Inc. 60 875
OM AB (b) 3 33
ORIX Corp. 3 353
Perpetual Trustees Australia Ltd. 1 54
Promise Co. Ltd. 3 196
Provident Financial Plc 8 109
Sampo Oyj - Class A 11 146
Schroders Plc 4 62
Singapore Exchange Ltd. 21 24
Takefuji Corp. 2 149
Tower Ltd. (b) 8 13
4,995
Electric - 3.9%
Chubu Electric Power Co. Inc. 21 509
CLP Holdings Ltd. 57 328
Contact Energy Ltd. 10 44
E.ON AG 20 1,816
Edison SpA (b) 25 52
Electrabel SA 1 391
Electric Power Development Co. Ltd. (b) 5 126
Electricidade de Portugal SA 71 216
Endesa SA 31 717
Enel SpA 117 1,150
Fortum Oyj 11 206
Hokkaido Electric Power Co. Inc. 6 114
Hong Kong Electric Holdings Ltd. 45 203
Iberdrola SA 24 623
International Power Plc (b) 47 139
Kansai Electric Power Co. Inc. 23 473
Kyushu Electric Power Co. Inc. 13 257
National Grid Transco Plc 99 941
Public Power Corp. 3 92
RWE AG 14 753
Scottish & Southern Energy Plc 28 463
Scottish Power Plc 60 462
Terna SpA (b) 32 91
Tohoku Electric Power Co. Inc. 14 244
Tokyo Electric Power Co. Inc. 37 903
Union Fenosa SA 7 180
Verbund-Oesterreichische Elektrizitaetswirtschafts AG - 43
11,536
Electrical Components & Equipment - 1.0%
Bekaert SA - 36
Casio Computer Co. Ltd. 6 93
Fujikura Ltd. 11 51
Furukawa Electric Co. Ltd. (b) 17 94
Hitachi Cable Ltd. 6 28
Hitachi Ltd. 102 707
Johnson Electric Holdings Ltd. 51 49
Mitsubishi Electric Corp. 54 265
Sanyo Electric Co. Ltd. 49 169
Sharp Corp. 30 490
Stanley Electric Co. Ltd. 5 82
Sumitomo Electric Industries Ltd. 22 239
Toshiba Corp. 93 399
Ushio Inc. 4 75
Vestas Wind Systems A/S (b) 5 60
2,837
Electronics - 1.4%
Advantest Corp. 2 189
Alps Electric Co. Ltd. 5 75
Anritsu Corp. 3 23
Barco NV - 30
Dainippon Screen Manufacturing Co. Ltd. 5 31
Electrocomponents Plc 13 73
Epcos AG (b) 1 18
Fanuc Ltd. 5 307
Hirose Electric Co. Ltd. 1 117
Keyence Corp. 1 229
Koninklijke Philips Electronics NV 42 1,118
Kyocera Corp. 5 408
Mabuchi Motor Co. Ltd. 1 65
Minebea Co. Ltd. 9 39
Mitsumi Electric Co. Ltd. 2 19
Murata Manufacturing Co. Ltd. 7 397
NEC Corp. 53 329
NGK Insulators Ltd. 8 77
Omron Corp. 7 162
Premier Farnell Plc 11 35
Secom Co. Ltd. 7 260
Taiyo Yuden Co. Ltd. 3 35
Venture Corp. Ltd. 7 68
Yokogawa Electric Corp. 7 94
4,198
Engineering & Construction - 1.1%
ABB Ltd. (b) 60 333
Acciona SA 1 79
ACS Actividades Cons y Serv 8 189
Amec Plc 10 55
Auckland International Airport Ltd. 7 42
BAA Plc 34 380
Balfour Beatty Plc 14 86
Bouygues SA 7 302
Cheung Kong Infrastructure Holdings Ltd. 16 46
COMSYS Holdings Corp. 3 28
Flughafen Wien AG - 31
Fomento de Construcciones Y Contratas SA 1 70
Grupo Ferrovial SA 2 112
Hellenic Technodomiki Tev SA 4 16
JGC Corp. 6 55
Kajima Corp. 29 125
Kinden Corp. 4 30
Kobenhavns Lufthavne - 39
Leighton Holdings Ltd. 4 39
Linde AG 3 165
New World Development Co. Ltd. 68 76
Nishimatsu Construction Co. Ltd. 7 24
Obayashi Corp. 19 120
Okumura Corp. 5 32
SembCorp Industries Ltd. 29 29
Shimizu Corp. 16 80
Singapore Technologies Engineering Ltd. 43 61
Skanska AB 12 146
Taisei Corp. 26 101
Takuma Co. Ltd. 2 16
Technical Olympic SA 2 13
Toda Corp. 5 24
VA Technologie AG (b) - 32
Vinci SA 2 320
3,296
Entertainment - 0.4%
Aristocrat Leisure Ltd. 10 81
EMI Group Plc 25 125
Greek Organization of Football Prognostics SA 5 140
Hilton Group Plc 50 272
Oriental Land Co. Ltd. 2 111
TABCORP Holdings Ltd. 16 223
Toho Co. Ltd. 4 63
William Hill Plc 13 145
1,160
Environmental Control - 0.0%
Kurita Water Industries Ltd. 3 42
Tomra Systems ASA 6 34
Waste Management NZ Ltd. 2 10
86
Food - 4.3%
Ajinomoto Co. Inc. 19 226
Ariake Japan Co. Ltd. - 11
Axfood AB 1 35
Cadbury Schweppes Plc 66 616
Carrefour SA 18 875
Casino Guichard-Perrachon SA 1 86
Colruyt SA 1 88
Compass Group Plc 70 329
Danisco A/S 2 103
Delhaize Group 2 170
Fyffes Plc 9 24
Greencore Group Plc 5 22
Groupe Danone 8 712
House Foods Corp. 3 36
J Sainsbury Plc 44 227
Jeronimo Martins (b) 1 17
Katokichi Co. Ltd. 1 24
Kerry Group Plc 4 97
Kesko Oyj 2 41
Kikkoman Corp. 5 48
Koninklijke Ahold NV (b) 50 387
Meiji Dairies Corp. 8 47
Meiji Seika Kaisha Ltd. 8 37
Metro AG 5 256
Nestle SA 13 3,372
Nichirei Corp. 7 28
Nippon Meat Packers Inc. 5 68
Nisshin Seifun Group Inc. 5 55
Nissin Food Products Co. Ltd. 3 68
Orkla ASA 6 195
Ostasiatiske Kompagni 1 38
QP Corp. 4 32
Royal Numico NV (b) 5 167
Snow Brand Milk Products Co. Ltd. (b) 5 14
Sodexho Alliance SA 3 89
Suedzucker AG 2 37
Tate & Lyle Plc 13 117
Tesco Plc 247 1,529
Toyo Suisan Kaisha Ltd. 3 44
Unilever NV 18 1,229
Unilever Plc 88 869
Woolworths Ltd. 33 390
Yakult Honsha Co. Ltd. 4 71
Yamazaki Baking Co. Ltd. 4 38
12,962
Forest Products & Paper - 0.5%
Billerud AB 2 30
Carter Holt Harvey Ltd. 20 30
Holmen AB 2 56
Mayr-Melnhof Karton AG - 24
Nippon Unipac Holding - 135
Norske Skogindustrier ASA 4 78
OJI Paper Co. Ltd. 25 143
PaperlinX Ltd. 14 53
Stora Enso Oyj - Class R 20 311
Svenska Cellulosa AB 6 269
UPM-Kymmene Oyj 17 375
1,504
Gas - 0.6%
Australian Gas Light Co. Ltd. 15 161
Centrica Plc 123 556
Gas Natural SDG SA 5 150
Hong Kong & China Gas Co. Ltd. 116 240
Ngc Holdings Ltd. 3 6
Osaka Gas Co. Ltd. 64 200
Snam Rete Gas SpA 28 162
Tokyo Gas Co. Ltd. 81 331
1,806
Hand & Machine Tools - 0.5%
Fuji Electric Co. Ltd. 15 40
KCI Konecranes Oyj - 17
KONE Corp. Oyj - Class B 1 90
Makita Corp. 4 70
Nidec Corp. 2 183
Sandvik AB 7 295
Schindler Holding AG - 69
Schneider Electric SA 7 492
SMC Corp. 2 196
Techtronic Industries Co. Ltd. 29 64
THK Co. Ltd. 3 59
1,575
Healthcare - 0.7%
Capio AB (b) 3 33
Cie Generale D'Optique Essilor International SA 3 252
Cochlear Ltd. 1 28
Coloplast A/S 1 49
Elekta AB - Class B (b) 1 31
Fisher & Paykel Healthcare Corp. 17 40
Fresenius Medical Care AG 1 89
Gambro AB 9 118
Getinge AB 5 59
Hoya Corp. 3 384
Luxottica Group SpA 5 94
Nobel Biocare Holding AG 1 129
Parkway Holdings Ltd. 18 17
Phonak Holding AG 1 43
Smith & Nephew Plc 30 311
Sonic Healthcare Ltd. 8 75
SSL International Plc 6 36
Strauman Holding AG - 47
Synthes Inc. (b) 1 160
Terumo Corp. 5 142
William Demant Holding A/S (b) 1 42
2,179
Holding Companies - Diversified - 0.7%
DCC Plc 3 60
Groupe Bruxelles Lambert SA 2 177
Haw Par Corp. Ltd. 3 10
Hutchison Whampoa Ltd. 68 636
Keppel Corp. Ltd. 18 95
LVMH Moet Hennessy Louis Vuitton SA 8 600
Patrick Corp. Ltd. 18 91
Swire Pacific Ltd. 30 247
Tomkins Plc 25 124
Viohalco 4 35
Wharf Holdings Ltd. 39 137
2,212
Home Builders - 0.3%
Barratt Developments Plc 8 88
Bellway Plc 3 52
Daiwa House Industry Co. Ltd. 16 182
George Wimpey Plc 13 101
Persimmon Plc 8 113
Sekisui Chemical Co. Ltd. 14 102
Sekisui House Ltd. 16 186
Taylor Woodrow Plc 18 92
The Berkeley Group Holdings Plc 3 49
965
Home Furnishings - 1.0%
Bang & Olufsen A/S - 25
Electrolux AB - Series B 9 206
Fisher & Paykel Appliances Holdings Ltd. 7 22
Matsushita Electric Industrial Co. Ltd. 70 1,113
MFI Furniture Group Plc 21 51
Pioneer Corp. 5 92
SONY Corp. 30 1,144
Thomson 7 197
Yamaha Corp. 5 81
2,931
Household Products - 0.3%
Henkel KGaA 2 158
Pacific Brands Ltd. 17 42
Reckitt Benckiser Plc 19 572
Societe BIC SA 1 55
Toto Ltd. 9 86
Waterford Wedgwood Plc (b) 28 2
915
Insurance - 4.6%
Aegon NV 44 600
Alleanza Assicurazioni SpA 15 207
Allianz AG 10 1,300
AMP Ltd. 60 342
Assicurazioni Generali SpA 31 1,040
Aviva Plc 72 873
AXA 45 1,121
AXA Asia Pacific Holdings Ltd. 24 77
CNP Assurances 1 77
Corporacion Mapfre SA 4 56
Friends Provident Plc 64 188
ING Groep NV 59 1,788
Insurance Australia Group Ltd. 50 251
Legal & General Group Plc 210 444
Mediolanum SpA 8 59
Millea Holdings Inc. - 682
Mitsui Sumitomo Insurance Co. Ltd. 41 356
Muenchener Rueckversicherungs AG 6 717
Pohjola Group Plc - Class D 2 23
Prudential Plc 75 657
QBE Insurance Group Ltd. 22 262
Riunione Adriatica di Sicurta SpA 9 215
Royal & Sun Alliance Insurance Group Plc 89 132
Skandia Forsakrings AB 33 167
Sompo Japan Insurance Inc. 24 245
Storebrand ASA 8 78
Swiss Reinsurance 10 738
T&D Holdings Ltd. (b) 6 280
Topdanmark A/S (b) 1 47
Zurich Financial Services AG (b) 5 762
13,784
Internet - 0.3%
Rakuten Inc. (b) - 138
Softbank Corp. 7 351
Trend Micro Inc. (b) 3 162
Yahoo Japan Corp. (b) - 288
939
Investment Companies - 0.1%
Independent Newspapers Ltd. 3 14
Macquarie Infrastructure Group 62 164
178
Iron & Steel - 0.8%
Acerinox SA 6 98
Arcelor 15 357
BHP Steel Ltd. 23 147
Boehler-Uddeholm AG - 30
Corus Group Plc (b) 125 121
JFE Holdings Inc. 17 487
Kobe Steel Ltd. 74 113
Nippon Steel Corp. 196 480
Nisshin Steel Co. Ltd. 22 51
OneSteel Ltd. 18 37
Rautaruukki Oyj 3 31
Ssab Svenskt Stal AB 2 40
Ssab Svenskt Stal AB 1 14
Sumitomo Metal Industries Ltd. 118 160
ThyssenKrupp AG 10 216
Voestalpine AG 1 68
2,450
Leisure Time - 0.3%
Amer Group Ltd. 2 34
Carnival Plc 6 336
Kuoni Reisen Holding AG - 39
Namco Ltd. 3 39
Sankyo Co. Ltd. 2 81
Sega Sammy Holdings Inc. (b) 2 119
Shimano Inc. 2 66
TUI AG 4 92
Yamaha Motor Co. Ltd. 5 78
884
Lodging - 0.2%
Accor SA 6 261
Hyatt Regency SA 1 12
Intercontinental Hotels Group Plc. 20 251
NH Hoteles SA 3 36
Overseas Union Enterprise Ltd. 1 5
Shangri-La Asia Ltd. 30 43
Sky City Entertainment Group Ltd. 12 47
655
Machinery - 0.5%
Alstom (b) 136 103
Amada Co. Ltd. 11 61
Atlas Copco AB 6 256
Ebara Corp. 7 32
Hitachi Construction Machinery Co. Ltd. 3 41
Komatsu Ltd. 31 217
Komori Corp. 2 29
Kubota Corp. 33 164
MAN AG 3 132
Metso Oyj 3 55
Rieter Holding AG - 38
Sumitomo Heavy Industries Ltd. (b) 17 63
Toyota Industries Corp. 6 156
1,347
Manufacturing - 1.7%
AGFA-Gevaert NV 3 108
Alfa Laval AB 3 41
Amano Corp. 2 20
Ansell Ltd. 6 40
BBA Group Plc 15 83
Cookson Group Plc (b) 59 40
FKI Plc 17 37
Fuji Photo Film Co. Ltd. 15 540
Futuris Corp. Ltd. 18 30
IMI Plc 11 86
Invensys Plc (b) 190 57
Ishikawajima-Harima Heavy Industries Co. Ltd. (b) 32 44
Kawasaki Heavy Industries Ltd. 40 66
Konica Corp. 14 186
Mitsubishi Heavy Industries Ltd. 90 256
Nikon Corp. 9 111
NKT Holding A/S 1 20
Novar Plc 13 46
Olympus Optical Co. Ltd. 7 149
Orica Ltd. 9 143
RHI AG (b) - 12
Siemens AG 26 2,171
Smiths Group Plc 18 279
Sulzer AG - 48
Trelleborg AB 3 46
Uponor Oyj 2 31
Wartsila Oyj 2 38
Wesfarmers Ltd. 12 379
5,107
Media - 1.9%
Amoldo Mondadori Editore SpA 4 43
Antena 3 Television SA (b) 1 46
British Sky Broadcasting Plc 41 439
Daily Mail & General Trust 10 138
EMAP Plc 8 130
Eniro AB 5 56
Fuji Television Network Inc. - 13
Gruppo Editoriale L'Espresso SpA 5 30
Independent News & Media Plc 18 58
ITV Plc 131 264
John Fairfax Holdings Ltd. 29 102
Lagardere S.C.A. 4 300
Mediaset SpA 19 238
Modern Times Group AB (b) 2 41
Pearson Plc 26 313
Promotora de Informaciones SA (Prisa) 3 55
ProSieben Sat.1 Media AG 3 51
Publishing & Broadcasting Ltd. 4 62
Reed Elsevier NV 23 309
Reed Elsevier Plc 40 371
Reuters Group Plc 46 336
Schibsted ASA 2 46
SCMP Group Ltd. 20 8
Seat Pagine Gialle SpA (b) 174 80
Singapore Press Holdings Ltd. 51 144
Sky Network Television Ltd. (b) 2 11
Societe Television Francaise 1 4 118
Sogecable SA (b) 1 49
Television Broadcasts Ltd. 10 46
Tokyo Broadcasting System Inc. 1 15
Trinity Mirror Plc 9 112
United Business Media Plc 11 101
Vivendi Universal SA (b) 33 1,039
VNU NV 8 227
Wolters Kluwer NV 9 186
Yell Group Plc 22 188
5,765
Metal Fabrication & Hardware - 0.2%
Assa Abloy AB - Class B 10 162
Hoganas AB 1 19
NSK Ltd. 14 70
NTN Corp. 14 80
SKF AB 3 129
460
Mining - 1.9%
Alumina Ltd. 37 171
Anglo American Plc 45 1,072
BHP Billiton Ltd. 117 1,410
BHP Billiton Plc 79 926
Dowa Mining Co. Ltd. 8 52
Iluka Resources Ltd. 6 30
Mitsubishi Materials Corp. 28 59
Mitsui Mining & Smelting Co. Ltd. 19 84
Newcrest Mining Ltd. 10 139
Nippon Light Metal Co. Ltd. 13 33
Outokumpu Oyj 3 53
Rio Tinto Ltd. 10 303
Rio Tinto Plc 34 1,006
Sumitomo Metal Mining Co. Ltd. 16 114
Umicore 1 74
WMC Resources Ltd. 38 213
5,739
Office & Business Equipment - 0.7%
Canon Inc. 27 1,457
OCE NV 2 34
Ricoh Co. Ltd. 22 424
Seiko Epson Corp. 3 147
2,062
Office Furnishings - 0.0%
Kokuyo Co. Ltd. 2 25
Oil & Gas Producers - 7.7%
BG Group Plc 113 768
BP Plc 695 6,774
ENI-Ente Nazionale Idrocarburi SpA 83 2,084
Hellenic Petroleum SA 4 40
Lundin Petroleum AB (b) 6 32
Nippon Mining Holdings Inc. 25 115
Nippon Oil Corp. 42 269
Norsk Hydro ASA 5 365
OMV AG - 129
Origin Energy Ltd. 22 119
Repsol YPF SA 29 762
Royal Dutch Petroleum Co. - NYS 67 3,838
Santos Ltd. 20 130
Shell Transport & Trading Co. Plc 308 2,625
Showa Shell Sekiyu KK 5 48
Statoil ASA 17 270
Teikoku Oil Co. Ltd. 6 33
TonenGeneral Sekiyu KK 9 82
Total Fina Elf SA 19 4,110
Woodside Petroleum Ltd. 15 229
22,822
Oil & Gas Services - 0.1%
IHC Caland NV 1 64
Petroleum Geo-Services ASA (b) 1 37
Smedvig ASA - Class A 1 22
Technip-Coflexip SA 1 115
238
Packaging & Containers - 0.1%
Amcor Ltd. 28 160
Rexam Plc 18 159
Toyo Seikan Kaisha Ltd. 5 92
411
Pharmaceuticals - 7.0%
Alfresa Holdings Corp. 1 22
Alliance Unichem Plc 8 119
Altana AG 2 144
AstraZeneca Plc 53 1,932
Celesio AG 1 88
Chugai Pharmaceutical Co. Ltd. 9 150
CSL Ltd. 6 148
Daiichi Pharmaceutical Co. Ltd. 8 175
Eisai Co. Ltd. 8 260
Elan Corp. Plc (b) 12 331
Fujisawa Pharmaceutical Co. Ltd. 9 244
GlaxoSmithKline Plc 188 4,421
H Lundbeck A/S 2 45
Kaken Pharmaceutical Co. Ltd. 2 13
Kuraya Sanseido Inc. 3 30
Kyowa Hakko Kogyo Co. Ltd. 11 83
Mayne Group Ltd. 19 63
Merck KGaA 2 107
Novartis AG 76 3,838
Novo-Nordisk A/S 8 450
Omega Pharma SA 1 29
Orion-Yhtymae Oyj 2 32
Roche Holding AG Genusschein 23 2,592
Sankyo Co. Ltd. 12 267
Sanofi-Synthelabo SA 31 2,510
Schering AG 5 399
Serono SA - Class B - 131
Shionogi & Co. Ltd. 10 138
Suzuken Co. Ltd. 2 47
Taisho Pharmaceutical Co. Ltd. 6 131
Takeda Chemical Industries Ltd. 28 1,430
UCB SA 3 142
Yamanouchi Pharmaceutical Co. Ltd. 10 381
20,892
Real Estate - 2.2%
Allgreen Properties Ltd. 11 7
Ascendas Real Estate Investment Trust 30 31
British Land Co. Plc 17 286
CapitaLand Ltd. 32 42
CapitaMall Trust 21 23
Castellum AB 1 43
Centro Properties Group 24 110
CFS Gandel Retail Trust 50 62
Cheung Kong Holdings Ltd. 48 479
City Developments Ltd. 14 61
Cofinimmo SA - 26
Commonwealth Property Office Fund 40 39
Corio NV 1 78
Daito Trust Construction Co. Ltd. 3 128
DB RREFF Trust 73 76
Gecina SA 1 83
General Property Trust 66 193
Great Portland Estates Plc 3 21
Hammerson Plc 9 152
Hang Lung Properties Ltd. 44 68
Henderson Land Development Co. Ltd. 24 125
Hopewell Holdings 21 54
Hysan Development Co. Ltd. 18 38
Immofinanz Immobilien Anlagen AG (b) 8 76
ING Industrial Fund 20 34
Investa Property Group 48 85
Japan Real Estate Investment Corp. - 59
Japan Retail Fund Investment Corp. - 42
Keppel Land Ltd. 9 12
Kerry Properties Ltd. 16 34
Klepierre 1 64
Land Securities Group Plc 15 401
Lend Lease Corp. Ltd. 11 117
Leopalace21 Corp. 4 67
Liberty International Plc 7 139
Macquarie Goodman Industrial Trust 51 95
Metrovacesa SA 1 54
Mirvac Group 22 86
Mitsubishi Estate Co. Ltd. 31 363
Mitsui Fudosan Co. Ltd. 22 267
Nippon Building Fund Inc. - 77
Rodamco Europe NV 1 112
Sacyr Vallehermoso SA 3 56
Singapore Land Ltd. 5 15
Sino Land Co. 34 34
Slough Estates Plc 13 136
Stockland 41 194
Sumitomo Realty & Development Co. Ltd. 12 154
Sun Hung Kai Properties Ltd. 42 420
Tokyu Land Corp. 11 46
Unibail Holding 1 220
United Overseas Land Ltd. 12 15
Wereldhave NV 1 76
Westfield Group (b) 46 587
Wihlborgs Fastigheter AB 2 50
Wing Tai Holdings Ltd. 14 9
6,426
Retail - 2.6%
Aeon Co. Ltd. 19 312
Aoyama Trading Co. Ltd. 2 52
Autobacs Seven Co. Ltd. 1 23
Autogrill SpA (b) 4 60
Boots Group Plc 24 301
Bulgari SpA 5 57
Circle K Sunkus Co. Ltd. (b) 1 33
Citizen Watch Co. Ltd. 8 77
Coles Myer Ltd. 35 268
Compagnie Financiere Richemont AG - Class A 17 556
Daimaru Inc. 6 49
D'ieteren NV - 14
Dixons Group Plc 61 179
Douglas Holding AG 1 36
Enterprise Inns Plc 11 165
FamilyMart Co. Ltd. 2 55
Fast Retailing Co. Ltd. 2 137
Folli - Follie SA 1 18
Germanos SA 1 17
Giordano International Ltd. 46 29
Grafton Group Plc (b) 6 68
GUS Plc 32 582
Hankyu Department Stores Inc. 4 29
Harvey Norman Holdings Ltd. 16 39
Hellenic Duty Free Shops SA 1 9
Hennes & Mauritz AB - Class B 15 528
HMV Group Plc 11 56
ID 5 57
Inditex SA 7 211
Isetan Co. Ltd. 6 65
Ito-Yokado Co. Ltd. 11 445
KarstadtQuelle AG 1 14
Kesa Electricals Plc 16 87
Kingfisher Plc 75 447
Lawson Inc. 2 70
Marks & Spencer Group Plc 53 349
Marui Co. Ltd. 10 129
Matsumotokiyoshi Co. Ltd. 1 28
Mitchells & Butlers Plc 16 107
Mitsukoshi Ltd. 12 58
Next Plc 8 262
Nitori Co. Ltd. 1 33
Pinault-Printemps-Redoute SA 2 218
Punch Taverns Plc 8 104
Ryohin Keikaku Co. Ltd. 1 40
Saizeriya Co. Ltd. 1 19
Seven-Eleven Japan Co. Ltd. 12 375
Shimachu Co. Ltd. 2 42
Shimamura Co. Ltd. 1 44
Signet Group Plc 53 111
Skylark Co. Ltd. 2 36
Sonae SGPS SA 30 43
Swatch Group AG 2 64
Swatch Group AG - Class B 1 156
Takashimaya Co. Ltd. 8 77
USS Co. Ltd. 1 60
Valora Holding AG - 33
Warehouse Group Ltd. 6 15
Whitbread Plc 10 160
Yamada Denki Co. Ltd. 2 101
7,809
Semiconductors - 0.6%
ARM Holdings Plc 35 75
ASM Pacific Technology 5 16
ASML Holding NV (b) 15 247
Chartered Semiconductor Manufacturing Ltd. (b) 39 23
Infineon Technologies AG (b) 20 220
Micronas Semiconductor Holdings (b) 1 49
NEC Electronics Corp. 1 59
Rohm Co. Ltd. 3 352
Sanken Electric Co. Ltd. 3 39
ST Assembly Test Services Ltd. (b) 26 16
STMicroelectronics NV 19 369
Tokyo Electron Ltd. 5 333
Unaxis Holding AG - 34
1,832
Shipbuilding - 0.0%
Mitsui Engineering & Shipbuilding Co. Ltd. 19 32
SembCorp Marine Ltd. 20 17
49
Software - 0.6%
Business Objects SA (b) 2 54
Capcom Co. Ltd. 1 11
Dassault Systemes SA 2 91
Fuji Soft ABC Inc. 1 30
Hitachi Software Engineering Co. Ltd. 1 23
Konami Corp. 3 58
Misys Plc 17 67
Nomura Research Institute Ltd. 1 66
Oracle Corp. Japan 1 52
Sage Group Plc 41 161
SAP AG 7 1,177
1,790
Storage/Warehousing - 0.0%
Mitsubishi Logistics Corp. 3 30
Telecommunications - 4.6%
Belgacom SA (b) 5 224
BT Group Plc 274 1,066
Cable & Wireless Plc 78 179
Deutsche Telekom AG (b) 87 1,976
Eircom Group Plc 17 39
Elisa Communications Oyj - Class A (b) 4 66
France Telecom SA 47 1,568
Hellenic Telecommunications Organization SA 8 137
Nippon Telegraph & Telephone Corp. - 745
PCCW Ltd. 120 76
Portugal Telecom SGPS SA 26 326
PT-Multimedia SA 2 38
Royal KPN NV 64 606
Singapore Telecommunications Ltd. 213 310
Swisscom AG 1 337
TDC A/S 6 250
Tele2 AB - Class B 3 120
Telecom Corp. 62 275
Telecom Italia SpA 442 1,654
Telefonica SA 143 2,688
Telekom Austria AG 9 166
Telenor ASA 25 231
TeliaSonera AB 60 361
Telstra Corp. Ltd. 68 261
Tiscali SpA (b) 6 23
13,722
Telecommunications Equipment - 0.4%
Alcatel SA (b) 39 608
Datacraft Asia Ltd. (b) 5 5
GN Store Nord 7 80
Intracom SA 3 15
Kudelski SA (b) 1 38
Marconi Corp. Plc (b) 7 71
NTT Data Corp. - 126
Oki Electric Industry Co. Ltd. (b) 18 77
Tandberg ASA 5 57
1,077
Textiles - 0.2%
Kuraray Co. Ltd. 11 99
Mitsubishi Rayon Co. Ltd. 17 62
Nisshinbo Industries Inc. 5 37
Teijin Ltd. 24 104
Texwinca Holdings Ltd. 16 15
Toray Industries Inc. 37 173
Toyobo Co. Ltd. 16 39
529
Tobacco - 0.8%
Altadis SA 9 396
British American Tobacco Plc 52 891
Imperial Tobacco Group Plc 23 640
Japan Tobacco Inc. - 331
Swedish Match AB 11 126
2,384
Toys & Hobbies - 0.2%
Bandai Co. Ltd. 2 48
Nintendo Co. Ltd. 3 402
450
Transportation - 1.6%
Amadeus Global Travel Distribution SA 11 111
Arriva Plc 6 60
Associated British Ports Holdings Plc 10 93
Central Japan Railway Co. - 261
ComfortDelGro Corp. Ltd. 51 48
Compagnie Maritime Belge SA 1 18
Dampskibsselskabet Svendborg - 289
Deutsche Post AG 14 330
DSV De Sammensluttede Vognmaend af 1 46
East Japan Railway Co. - 606
Euronav NV 1 20
Exel Plc 10 134
Firstgroup Plc 12 82
Frontline Ltd. 1 58
Golden Ocean Group Ltd. (b) 4 2
Kawasaki Kisen Kaisha Ltd. 16 103
Keihin Electric Express Railway Co. Ltd. 13 80
Keio Electric Railway Co. Ltd. 18 106
Kinki Nippon Railway Co. Ltd. 50 173
Mitsui O.S.K. Lines Ltd. 30 180
MTR Corp. 40 64
National Express Group Plc 5 74
Neptune Orient Lines Ltd. 15 28
Nippon Express Co. Ltd. 26 128
Nippon Yusen Kabushiki Kaisha 29 156
Odakyu Electric Railway Co. Ltd. 22 128
Orient Overseas International Ltd. 5 19
Peninsular and Oriental Steam Navigation Co. 24 136
Seino Transportation Co. Ltd. 4 37
SembCorp Logistics Ltd. 11 12
Ship Finance International Ltd. - 4
Singapore Post Ltd. 42 23
SMRT Corp. Ltd. 14 8
Stagecoach Group Plc 36 78
Tobu Railway Co. Ltd. 25 95
Tokyu Corp. 31 168
Toll Holdings Ltd. 8 81
TPG NV 12 327
West Japan Railway Co. - 218
Yamato Transport Co. Ltd. 13 192
4,776
Venture Capital - 0.1%
3i Group Plc 20 250
Jafco Co. Ltd. 1 54
304
Water - 0.6%
Kelda Group Plc 12 147
Severn Trent Plc 11 208
Sociedad General de Aguas de Barcelona SA 2 42
Suez SA 26 687
United Utilities Plc 27 291
Veolia Environnement 8 300
1,675
Wireless Telecommunications - 4.2%
Cosmote Mobile Telecommunications SA 4 77
Hutchison Telecommunications International Ltd. (b) 43 39
Mobistar SA (b) 1 85
Nokia Oyj 149 2,355
NTT DoCoMo Inc. 1 1,184
SmarTone Telecommunications Holding Ltd. 7 8
Telefonaktiebolaget LM Ericsson (b) 462 1,475
TIM SpA 118 885
Uniden Corp. 2 39
Vodafone Group Plc 2,116 5,738
11,885
Total Common Stocks (cost $235,450) 286,925
Preferred Stocks - 0.1%
Auto Manufacturers - 0.1%
Porsche AG - 158
Volkswagen AG 3 109
267
Healthcare - 0.0%
Fresenius Medical Care AG 1 50
Total Preferred Stocks (cost $277) 317
Rights - 0.0%
Food - 0.0%
Colruyt SA, No strike price, Expiring 04/30/05 1 1
Household Products - 0.0%
Waterford Wedgwood Plc,
Strike Price 0.06 EUR, Expiring 01/25/05, 47 -
Total Rights (cost $1) 1
Warrants - 0.0%
Chemicals - 0.0%
Kingboard Chemical Holdings Ltd., Strike Price 20.00 HKD,
Expiring 12/31/06 1 1
Commercial Services - 0.0%
Hopewell Highway Infrastructure, Strike Price 4.18 HKD,
Expiring 08/05/06 1 -
Total Warrants (cost $0) 1
Short Term Investments - 9.6%
Money Market Funds - 3.2%
Dreyfus Cash Management Plus, 1.98% (a) (n) 9,493 9,493
Securities Lending Collateral - 6.2%
Mellon GSL Delaware Business Trust Collateral Fund (n) 18,404 18,404
U.S. Treasury Bills - 0.2%
U.S. Treasury Bill, 2.21%, 03/17/05 (m) $480 478
Total Short Term Investments (cost $28,375) 28,375
Total Investments - 105.9% (cost $264,103) 315,619
Other Assets and Liabilities, Net - (5.9%) (17,471)
Total Net Assets - 100% $298,148
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 18.6%
Consumer, Cyclical 17.7%
Financial 16.5%
Industrial 11.1%
Technology 9.1%
Energy 7.9%
Communications 5.8%
Utilities 5.6%
Basic Materials 3.7%
Money Market Investment 3.5%
Diversified 0.4%
Government 0.1%
100.0%
Common Stocks - 96.3%
Advertising - 0.3%
Catalina Marketing Corp. 9 $ 274
Harte-Hanks Inc. 15 397
671
Aerospace & Defense - 0.5%
Alliant Techsystems Inc. (b) 7 438
Sequa Corp. - Class A (b) 2 108
Titan Corp. (b) 15 244
790
Airlines - 0.4%
Airtran Holdings Inc. (b) 15 158
Alaska Air Group Inc. (b) 5 161
JetBlue Airways Corp. (b) (l) 18 428
747
Apparel - 0.2%
Timberland Co. - Class A (b) 6 395
Auto Parts & Equipment - 1.0%
ArvinMeritor Inc. 12 275
Bandag Inc. 3 167
BorgWarner Inc. 10 540
Lear Corp. 12 746
Modine Manufacturing Co. 6 205
1,933
Banks - 5.0%
Associated Banc-Corp. 23 766
Bank of Hawaii Corp. 9 476
Banknorth Group Inc. (l) 31 1,143
City National Corp. 9 613
Colonial BancGroup Inc. 24 505
Commerce Bancorp. Inc. (l) 14 899
Cullen/Frost Bankers Inc. 9 447
FirstMerit Corp. 15 432
Greater Bay Bancorp. 9 255
Hibernia Corp. 28 816
Investors Financial Services Corp. 12 590
Mercantile Bankshares Corp. 14 736
Silicon Valley Bancshares (b) 6 284
TCF Financial Corp. 25 798
Webster Financial Corp. 9 478
Westamerica Bancorp. 6 327
Wilmington Trust Corp. 12 427
9,992
Beverages - 0.7%
Constellation Brands Inc. - Class A (b) 19 885
PepsiAmericas Inc. 25 521
1,406
Biotechnology - 1.2%
Charles River Laboratories International Inc. (b) 11 526
Invitrogen Corp. (b) 9 631
Millennium Pharmaceuticals Inc. (b) 54 658
Protein Design Labs Inc. (b) 17 349
Vertex Pharmaceuticals Inc. (b) 14 144
2,308
Building Materials - 0.4%
Martin Marietta Materials Inc. 9 463
York International Corp. 7 257
720
Chemicals - 2.8%
Airgas Inc. 13 352
Albemarle Corp. 7 280
Cabot Corp. 11 425
Cabot Microelectronics Corp. (b) 4 174
Crompton Corp. 20 235
Cytec Industries Inc. 7 357
Ferro Corp. 8 175
FMC Corp. (b) 6 314
Lubrizol Corp. 12 426
Lyondell Chemical Co. (l) 43 1,238
Minerals Technologies Inc. 4 243
Olin Corp. 13 275
RPM International Inc. 21 407
Sensient Technologies Corp. 8 202
Valspar Corp. 9 459
5,562
Commercial Services - 4.1%
Adesa Inc. 17 358
Alliance Data Systems Corp. (b) 14 684
Banta Corp. 4 195
Career Education Corp. (b) 18 727
ChoicePoint Inc. (b) 16 723
Corinthian Colleges Inc. (b) (l) 16 302
Deluxe Corp. 9 332
DeVry Inc. (b) 12 213
Education Management Corp. (b) 13 431
First Health Group Corp. (b) 16 306
Gartner Inc. (b) 19 236
ITT Educational Services Inc. (b) 8 388
Kelly Services Inc. - Class A 6 187
Korn/Ferry International (b) 7 137
Laureate Education Inc. (b) 9 379
Manpower Inc. 16 774
MPS Group Inc. (b) 18 224
Quanta Services Inc. (b) 20 160
Rent-A-Center Inc. (b) 14 372
Rollins Inc. 8 208
Sotheby's Holdings Inc. - Class A (b) 11 205
United Rentals Inc. (b) 13 253
Valassis Communications Inc. (b) 9 321
8,115
Computers - 3.7%
BISYS Group Inc. (b) 22 354
Cadence Design Systems Inc. (b) (l) 48 662
Ceridian Corp. (b) 26 483
Cognizant Technology Solutions Corp. (b) 23 988
Diebold Inc. 13 712
DST Systems Inc. (b) (l) 15 779
Imation Corp. 6 203
Jack Henry & Associates Inc. 16 320
McData Corp. (b) 20 121
Mentor Graphics Corp. (b) 14 209
National Instruments Corp. 14 383
Reynolds & Reynolds Co. 11 304
Sandisk Corp. (b) 29 718
Storage Technology Corp. (b) 20 626
Synopsys Inc. (b) 28 545
7,407
Distribution & Wholesale - 1.1%
CDW Corp. 15 978
Fastenal Co. (l) 13 828
Tech Data Corp. (b) 10 470
2,276
Diversified Financial Services - 2.4%
A.G. Edwards Inc. 14 610
AmeriCredit Corp. (b) (l) 28 686
Eaton Vance Corp. (l) 12 628
IndyMac Bancorp. Inc. 11 373
Jefferies Group Inc. 10 407
LaBranche & Co. Inc. (b) (l) 10 90
Legg Mason Inc. 18 1,314
Raymond James Financial Inc. 13 408
Waddell & Reed Financial Inc. - Class A 15 353
4,869
Electric - 4.6%
Alliant Energy Corp. 20 576
Aquila Inc. (b) 40 149
Black Hills Corp. 6 178
DPL Inc. 23 566
Duquesne Light Holdings Inc. (l) 13 251
Energy East Corp. 26 697
Great Plains Energy Inc. 13 402
Hawaiian Electric Industries Inc. 14 418
Idacorp Inc. 7 225
MDU Resources Group Inc. 21 559
Northeast Utilities 23 430
NSTAR 10 516
OGE Energy Corp. 16 413
Pepco Holdings Inc. (l) 33 704
PNM Resources Inc. 11 274
Puget Energy Inc. 18 438
SCANA Corp. 20 781
Sierra Pacific Resources (b) 20 213
Westar Energy Inc. 15 350
Wisconsin Energy Corp. 21 706
WPS Resources Corp. 7 333
9,179
Electrical Components & Equipment - 0.8%
Ametek Inc. 12 433
Energizer Holdings Inc. (b) 13 644
Hubbell Inc. - Class B 11 565
1,642
Electronics - 1.6%
Amphenol Corp. (b) 16 573
Arrow Electronics Inc. (b) 21 499
Avnet Inc. (b) 21 391
Gentex Corp. 14 509
Kemet Corp. (b) 15 133
Plexus Corp. (b) 8 98
Thomas & Betts Corp. (b) 11 323
Varian Inc. (b) 6 254
Vishay Intertechnology Inc. (b) 30 445
3,225
Engineering & Construction - 0.5%
Dycom Industries Inc. (b) 9 265
Granite Construction Inc. 7 198
Jacobs Engineering Group Inc. (b) 10 479
942
Entertainment - 0.6%
GTECH Holdings Corp. 21 544
International Speedway Corp. - Class A 10 503
Macrovision Corp. (b) 9 219
1,266
Environmental Control - 0.6%
Republic Services Inc. 27 904
Stericycle Inc. (b) 8 370
1,274
Food - 2.7%
Dean Foods Co. (b) 27 874
Hormel Foods Corp. 25 773
JM Smucker Co. 10 489
Ruddick Corp. 8 182
Smithfield Foods Inc. (b) 20 581
Tootsie Roll Industries Inc. 9 322
Tyson Foods Inc. 63 1,154
Whole Foods Market Inc. 11 1,050
5,425
Forest Products & Paper - 0.7%
Bowater Inc. (l) 10 436
Longview Fibre Co. 9 158
P.H. Glatfelter Co. 8 119
Potlatch Corp. 5 260
Rayonier Inc. 9 431
1,404
Gas - 0.8%
AGL Resources Inc. 13 443
Oneok Inc. 18 522
Vectren Corp. 13 362
WGL Holdings Inc. 9 265
1,592
Hand & Machine Tools - 0.2%
Kennametal Inc. 7 337
Healthcare - 6.4%
Apria Healthcare Group Inc. (b) 9 286
Beckman Coulter Inc. 11 729
Community Health Systems Inc. (b) 16 433
Covance Inc. (b) 11 431
Coventry Health Care Inc. (b) 16 847
Cytyc Corp. (b) 20 544
Dentsply International Inc. 14 802
Edwards Lifesciences Corp. (b) (l) 11 440
Health Net Inc. (b) 20 574
Henry Schein Inc. (b) 8 540
Hillenbrand Industries Inc. 11 611
Inamed Corp. (b) 6 398
LifePoint Hospitals Inc. (b) 7 242
Lincare Holdings Inc. (b) 18 759
Pacificare Health Systems Inc. (b) (l) 15 863
Patterson Cos. Inc. (b) (l) 24 1,055
Renal Care Group Inc. (b) 12 430
Steris Corp. (b) 12 291
Techne Corp. (b) 7 284
Triad Hospitals Inc. (b) 14 507
Universal Health Services Inc. 10 461
Varian Medical Systems Inc. (b) 24 1,043
VISX Inc. (b) 9 221
12,791
Holding Companies - Diversified - 0.4%
Leucadia National Corp. (l) 13 876
Home Builders - 2.8%
DR Horton Inc. 41 1,669
Hovnanian Enterprises Inc. - Class A (b) 11 537
Lennar Corp. (l) 28 1,568
Ryland Group Inc. 8 483
Thor Industries Inc. 10 376
Toll Brothers Inc. (b) (l) 13 914
5,547
Home Furnishings - 0.9%
Furniture Brands International Inc. 10 244
Harman International Industries Inc. 12 1,515
1,759
Household Products - 0.8%
American Greetings Corp. - Class A (l) 12 309
Blyth Inc. 7 210
Church & Dwight Co. Inc. 11 370
Scotts Co. - Class A (b) 6 428
Tupperware Corp. 11 218
1,535
Insurance - 5.2%
Allmerica Financial Corp. (b) 10 312
American Financial Group Inc. 13 410
AmerUs Group Co. 7 315
Arthur J. Gallagher & Co. 16 532
Brown & Brown Inc. 12 536
Everest Re Group Ltd. 10 890
Fidelity National Financial Inc. 31 1,407
First American Corp. 16 555
HCC Insurance Holdings Inc. 12 400
Horace Mann Educators Corp. 8 146
Ohio Casualty Corp. (b) 11 256
Old Republic International Corp. 32 820
PMI Group Inc. 17 714
Protective Life Corp. 12 527
Radian Group Inc. 16 876
Stancorp Financial Group Inc. 5 416
Unitrin Inc. 12 555
W.R. Berkley Corp. 15 705
10,372
Internet - 1.2%
Avocent Corp. (b) 9 354
CheckFree Corp. (b) 15 587
Macromedia Inc. (b) 12 385
McAfee Inc. (b) 28 822
RSA Security Inc. (b) 12 250
2,398
Iron & Steel - 0.2%
Steel Dynamics Inc. 8 303
Leisure Time - 0.1%
Callaway Golf Co. 13 173
Lodging - 1.3%
Boyd Gaming Corp. 15 643
Caesars Entertainment Inc. (b) 55 1,108
Mandalay Resort Group 12 846
2,597
Machinery - 1.1%
AGCO Corp. (b) 16 353
Flowserve Corp. (b) 10 264
Graco Inc. 12 461
Nordson Corp. 6 247
Tecumseh Products Co. 3 152
Zebra Technologies Corp. (b) 13 719
2,196
Manufacturing - 2.2%
Brink's Co. 10 400
Carlisle Cos. Inc. 5 353
Crane Co. 10 280
Donaldson Co. Inc. 15 500
Federal Signal Corp. 9 153
Harsco Corp. 7 407
Lancaster Colony Corp. 6 274
Pentair Inc. 18 777
SPX Corp. (l) 13 541
Teleflex Inc. 7 374
Trinity Industries Inc. 8 278
4,337
Media - 2.2%
Belo Corp. - Class A 20 537
Emmis Communications Corp. (b) 10 187
Entercom Communications Corp. (b) 9 318
Lee Enterprises Inc. 8 370
Media General Inc. 4 274
Reader's Digest Association Inc. - Class A 18 247
Scholastic Corp. (b) 7 254
Washington Post 2 1,670
Westwood One Inc. (b) 17 467
4,324
Metal Fabrication & Hardware - 0.5%
Precision Castparts Corp. 12 756
Worthington Industries 14 276
1,032
Mining - 0.7%
Arch Coal Inc. (l) 11 386
Peabody Energy Corp. 11 927
1,313
Office Furnishings - 0.4%
Herman Miller Inc. 13 351
HNI Corp. 10 442
793
Oil & Gas Producers - 3.5%
ENSCO International Inc. 27 853
Forest Oil Corp. (b) 10 331
Helmerich & Payne Inc. 9 304
Murphy Oil Corp. 16 1,313
Newfield Exploration Co. (b) 11 655
Noble Energy Inc. 10 644
Patterson-UTI Energy Inc. 30 577
Pioneer Natural Resources Co. 26 909
Plains Exploration & Production Co. (b) 14 356
Pogo Producing Co. 11 551
Pride International Inc. (b) 24 496
6,989
Oil & Gas Services - 2.6%
Cooper Cameron Corp. (b) 10 527
FMC Technologies Inc. (b) 12 386
Grant Prideco Inc. (b) 22 438
Hanover Compressor Co. (b) 14 192
National-Oilwell Inc. (b) 15 540
Smith International Inc. (b) (l) 19 1,016
Tidewater Inc. 11 384
Varco International Inc. (b) 17 505
Weatherford International Ltd. (b) 24 1,240
5,228
Packaging & Containers - 0.5%
Packaging Corp. of America 19 449
Sonoco Products Co. 17 518
967
Pharmaceuticals - 2.5%
Barr Laboratories Inc. (b) 19 846
Cephalon Inc. (b) (l) 10 514
IVAX Corp. (b) 44 703
Omnicare Inc. 18 640
Par Pharmaceutical Cos. Inc. (b) 6 252
Perrigo Co. 12 211
Sepracor Inc. (b) 19 1,109
Valeant Pharmaceuticals International (l) 15 396
VCA Antech Inc. (b) 15 284
4,955
Pipelines - 1.1%
Equitable Resources Inc. 11 669
National Fuel Gas Co. (l) 15 416
Questar Corp. 15 760
Western Gas Resources Inc. 13 384
2,229
Real Estate - 2.6%
AMB Property Corp. 15 594
Developers Diversified Realty Corp. 19 847
Highwoods Properties Inc. 9 258
Hospitality Properties Trust 12 550
Liberty Property Trust (l) 15 655
Mack-Cali Realty Corp. 11 496
New Plan Excel Realty Trust 18 494
United Dominion Realty Trust Inc. 23 583
Weingarten Realty Investors 16 634
5,111
Retail - 8.3%
99 Cents Only Stores (b) (l) 12 199
Abercrombie & Fitch Co. - Class A 16 730
Advance Auto Parts (b) 13 572
Aeropostale Inc. (b) 10 294
American Eagle Outfitters Inc. 13 614
AnnTaylor Stores Corp. (b) 12 267
Applebees International Inc. 15 387
Barnes & Noble Inc. (b) 12 403
BJ's Wholesale Club Inc. (b) (l) 12 362
Bob Evans Farms Inc. 6 164
Borders Group Inc. 14 343
Brinker International Inc. (b) 16 561
Carmax Inc. (b) (l) 18 574
CBRL Group Inc. 9 365
Cheesecake Factory (b) 14 447
Chico's FAS Inc. (b) (l) 16 723
Claire's Stores Inc. 18 374
Copart Inc. (b) 16 422
Dollar Tree Stores Inc. (b) (l) 20 580
Foot Locker Inc. 28 746
Krispy Kreme Doughnuts Inc. (b) (l) 11 133
Michaels Stores Inc. 24 726
Neiman-Marcus Group Inc. - Class A (l) 9 624
O'Reilly Automotive Inc. (b) 10 442
Outback Steakhouse Inc. (l) 13 598
Pacific Sunwear of California (b) 13 294
Payless Shoesource Inc. (b) 12 143
Petsmart Inc. 26 918
Pier 1 Imports Inc. 16 306
Regis Corp. 8 365
Ross Stores Inc. 26 758
Ruby Tuesday Inc. 12 305
Saks Inc. (b) 25 366
Urban Outfitters Inc. (b) 14 635
Williams-Sonoma Inc. (b) 21 726
16,466
Savings & Loans - 1.3%
Astoria Financial Corp. 14 543
Independence Community Bank Corp. 15 636
New York Community Bancorp. Inc. (l) 47 967
Washington Federal Inc. 14 370
2,516
Semiconductors - 2.9%
Atmel Corp. (b) (l) 85 333
Credence Systems Corp. (b) 17 151
Cree Inc. (b) (l) 13 522
Cypress Semiconductor Corp. (b) (l) 22 263
Fairchild Semiconductor International Inc. - Class A (b) 21 346
Integrated Circuit Systems Inc. (b) 13 271
Integrated Device Technology Inc. (b) 18 213
International Rectifier Corp. (b) 12 522
Intersil Corp. 27 448
Lam Research Corp. (b) 24 688
Lattice Semiconductor Corp. (b) 20 111
LTX Corp. (b) 11 85
Micrel Inc. (b) 16 181
Microchip Technology Inc. 37 974
Semtech Corp. (b) 13 288
Silicon Laboratories Inc. (b) 9 325
Triquint Semiconductor Inc. (b) 24 105
5,826
Software - 2.5%
Activision Inc. (b) 25 497
Acxiom Corp. 15 402
Advent Software Inc. (b) 6 122
Ascential Software Corp. (b) 10 166
Certegy Inc. 11 400
CSG Systems International Inc. (b) 9 173
Dun & Bradstreet Corp. (b) 12 745
Fair Isaac Corp. 13 460
Keane Inc. (b) 11 157
MoneyGram International Inc. 16 334
Retek Inc. (b) 9 57
SEI Investments Co. 18 769
Sybase Inc. (b) 17 336
Transaction Systems Architects Inc. (b) 7 129
Wind River Systems Inc. (b) 14 194
4,941
Telecommunications - 0.5%
Cincinnati Bell Inc. (b) 44 183
Telephone & Data Systems Inc. 10 785
968
Telecommunications Equipment - 1.4%
3Com Corp. (b) 70 293
Adtran Inc. 14 271
CommScope Inc. (b) 9 177
Harris Corp. 12 731
Newport Corp. (b) 7 103
Plantronics Inc. 9 353
Polycom Inc. (b) 18 412
UTStarcom Inc. (b) (l) 20 450
2,790
Textiles - 0.5%
Mohawk Industries Inc. (b) 12 1,078
Tobacco - 0.1%
Universal Corp. 4 212
Transportation - 2.3%
Alexander & Baldwin Inc. 8 324
C.H. Robinson Worldwide Inc. 15 841
CNF Inc. 9 456
Expeditors International of Washington Inc. (l) 19 1,051
GATX Corp. 9 253
J.B. Hunt Transport Services Inc. 14 643
Overseas Shipholding Group Inc. 7 388
Swift Transportation Co. Inc. (b) 14 297
Werner Enterprises Inc. 14 320
4,573
Water - 0.2%
Aqua America Inc. 17 408
Wireless Telecommunications - 0.2%
Powerwave Technologies Inc. (b) 18 151
RF Micro Devices Inc. (b) 32 222
373
Total Common Stocks (cost $162,752) 191,453
Short Term Investments - 13.3%
Money Market Funds - 3.5%
Dreyfus Cash Management Plus, 1.98% (a) (n) 7,049 7,049
Securities Lending Collateral - 9.7%
Mellon GSL Delaware Business Trust Collateral Fund (n) 19,311 19,311
U.S. Treasury Bills - 0.1%
U.S. Treasury Bill, 2.21%, 03/17/05 (m) $180 179
Total Short Term Investments (cost $26,540) 26,540
Total Investments - 109.6% (cost $189,292) 217,993
Other Assets and Liabilities, Net - (9.6%) (19,152)
Total Net Assets - 100% $ 198,841
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 20.7%
Financial 20.0%
Technology 12.1%
Industrial 11.3%
Communications 10.9%
Consumer, Cyclical 9.7%
Energy 6.9%
Basic Materials 2.8%
Utilities 2.8%
Money Market Investment 2.7%
Government 0.1%
100.0%
Common Stocks - 96.9%
Advertising - 0.2%
Interpublic Group of Cos. Inc. (b) 13 $ 169
Omnicom Group Inc. 6 493
662
Aerospace & Defense - 1.5%
Boeing Co. 26 1,348
General Dynamics Corp. 6 657
Goodrich Corp. 4 115
L-3 Communications Holdings Inc. 3 249
Lockheed Martin Corp. 14 770
Northrop Grumman Corp. 11 611
Raytheon Co. 14 549
Rockwell Collins Inc. 5 209
United Technologies Corp. 16 1,646
6,154
Agriculture - 0.3%
Archer-Daniels-Midland Co. 20 444
Monsanto Co. 8 464
908
Airlines - 0.1%
Delta Air Lines Inc. (b) (l) 4 27
Southwest Airlines Co. 24 393
420
Apparel - 0.4%
Coach Inc. (b) 6 333
Jones Apparel Group Inc. 4 131
Liz Claiborne Inc. 3 138
NIKE Inc. 8 749
Reebok International Ltd. 2 71
V.F. Corp. 3 180
1,602
Auto Manufacturers - 0.6%
Ford Motor Co. (l) 57 839
General Motors Corp. (l) 18 707
Navistar International Corp. (b) 2 90
PACCAR Inc. 5 440
2,076
Auto Parts & Equipment - 0.2%
Cooper Tire & Rubber Co. 2 50
Dana Corp. 4 76
Delphi Corp. 17 151
Goodyear Tire & Rubber Co. (b) 5 79
Johnson Controls Inc. 6 366
Visteon Corp. 3 33
755
Banks - 6.4%
AmSouth Bancorp. 11 284
Bank of America Corp. 126 5,930
Bank of New York Co. Inc. 24 813
BB&T Corp. 17 728
Comerica Inc. 5 322
Compass Bancshares Inc. 3 151
Fifth Third Bancorp. 18 842
First Horizon National Corp. 4 160
Huntington Bancshares Inc. 7 170
KeyCorp 12 420
M&T Bank Corp. 4 388
Marshall & Ilsley Corp. 7 309
Mellon Financial Corp. 13 414
National City Corp. 21 778
North Fork Bancorp. Inc. 15 423
Northern Trust Corp. 7 330
PNC Financial Services Group Inc. 9 507
Regions Financial Corp. 15 517
State Street Corp. 11 519
SunTrust Banks Inc. 11 828
Synovus Financial Corp. 9 268
US Bancorp. 59 1,837
Wachovia Corp. 50 2,619
Wells Fargo & Co. 52 3,252
Zions Bancorp. 3 195
23,004
Beverages - 2.2%
Adolph Coors Co. - Class B 1 88
Anheuser-Busch Cos. Inc. 25 1,256
Brown-Forman Corp. - Class B 4 175
Coca-Cola Co. 75 3,131
Coca-Cola Enterprises Inc. 15 307
Pepsi Bottling Group Inc. 8 218
PepsiCo Inc. 53 2,742
7,917
Biotechnology - 1.1%
Amgen Inc. (b) 39 2,519
Biogen Idec Inc. (b) 11 708
Chiron Corp. (b) 6 200
Genzyme Corp. (b) 7 416
Medimmune Inc. (b) 7 201
Millipore Corp. (b) 1 68
4,112
Building Materials - 0.3%
American Standard Cos. Inc. (b) 7 279
Eagle Materials Inc. - 4
Masco Corp. (l) 14 497
Vulcan Materials Co. 3 166
946
Chemicals - 1.6%
Air Products & Chemicals Inc. 7 413
Ashland Inc. 2 125
Dow Chemical Co. 29 1,450
E.I. du Pont de Nemours & Co. 31 1,528
Eastman Chemical Co. 2 129
Ecolab Inc. 8 283
Engelhard Corp. 4 113
Great Lakes Chemical Corp. 1 40
Hercules Inc. (b) 4 52
International Flavors & Fragrances Inc. 3 120
PPG Industries Inc. 5 360
Praxair Inc. 10 450
Rohm & Haas Co. 7 311
Sherwin-Williams Co. 4 200
Sigma-Aldrich Corp. (l) 2 125
5,699
Commercial Services - 0.9%
Apollo Group Inc. (b) 6 476
Cendant Corp. 33 773
Convergys Corp. (b) 4 58
Equifax Inc. 4 110
H&R Block Inc. 5 251
McKesson Corp. 9 289
Moody's Corp. 5 408
Paychex Inc. 12 393
R.R. Donnelley & Sons Co. 7 246
Robert Half International Inc. 5 147
3,151
Computers - 4.2%
Affiliated Computer Services Inc. - Class A (b) 4 241
Apple Computer Inc. (b) 12 784
Computer Sciences Corp. (b) 6 332
Dell Inc. (b) 77 3,261
Electronic Data Systems Corp. 16 372
EMC Corp. (b) 75 1,117
Gateway Inc. (b) 10 62
Hewlett-Packard Co. 94 1,962
International Business Machines Corp. 52 5,123
Lexmark International Inc. (b) 4 342
NCR Corp. (b) 3 210
Network Appliance Inc. (b) (l) 11 374
Sun Microsystems Inc. (b) 104 561
SunGard Data Systems Inc. (b) 9 244
Unisys Corp. (b) 10 102
15,087
Cosmetics & Personal Care - 2.0%
Alberto-Culver Co. - Class B 3 135
Avon Products Inc. 15 572
Colgate-Palmolive Co. 17 851
Gillette Co. 31 1,399
Procter & Gamble Co. 79 4,345
7,302
Distribution & Wholesale - 0.1%
Genuine Parts Co. 5 242
W.W. Grainger Inc. 3 190
432
Diversified Financial Services - 8.2%
American Express Co. 40 2,227
Bear Stearns Cos. Inc. 3 325
Capital One Financial Corp. (l) 8 639
Charles Schwab Corp. 42 497
CIT Group Inc. 7 302
Citigroup Inc. 161 7,746
Countrywide Financial Corp. 18 652
E*TRADE Group Inc. (b) 12 178
Fannie Mae 30 2,137
Federated Investors Inc. 3 93
Franklin Resources Inc. 8 547
Freddie Mac 21 1,578
Goldman Sachs Group Inc. 15 1,569
Janus Capital Group Inc. 7 122
JPMorgan Chase & Co. 111 4,312
Lehman Brothers Holdings Inc. 9 745
MBNA Corp. 40 1,126
Merrill Lynch & Co. Inc. 29 1,741
Morgan Stanley 34 1,889
Providian Financial Corp. (b) 9 144
SLM Corp. 14 730
T. Rowe Price Group Inc. 4 251
29,550
Electric - 2.7%
AES Corp. (b) 20 269
Allegheny Energy Inc. (b) (l) 4 75
Ameren Corp. (l) 6 308
American Electric Power Co. Inc. 12 414
Calpine Corp. (b) (l) 17 66
Centerpoint Energy Inc. 9 104
Cinergy Corp. (l) 6 238
CMS Energy Corp. (b) 6 63
Consolidated Edison Inc. (l) 7 323
Constellation Energy Group Inc. 5 229
Dominion Resources Inc. 10 703
DTE Energy Co. (l) 5 235
Duke Energy Corp. (l) 29 743
Edison International 10 330
Entergy Corp. 7 483
Exelon Corp. 21 910
FirstEnergy Corp. 10 398
FPL Group Inc. 6 436
NiSource Inc. (l) 8 179
PG&E Corp. (b) 12 407
Pinnacle West Capital Corp. 3 122
PPL Corp. 6 311
Progress Energy Inc. (l) 8 346
Public Service Enterprise Group Inc. (l) 7 376
Southern Co. (l) 23 773
TECO Energy Inc. 6 91
TXU Corp. 8 489
Xcel Energy Inc. (l) 13 230
9,651
Electrical Components & Equipment - 0.3%
American Power Conversion Corp. 7 141
Emerson Electric Co. 13 920
Molex Inc. 6 169
Power-One Inc. (b) 2 16
1,246
Electronics - 0.5%
Agilent Technologies Inc. (b) 15 369
Applera Corp. - Applied Biosystems Group 6 125
Fisher Scientific International (b) 3 212
Jabil Circuit Inc. (b) 6 151
PerkinElmer Inc. 4 88
Sanmina-SCI Corp. (b) 16 133
Solectron Corp. (b) 31 163
Symbol Technologies Inc. 7 124
Tektronix Inc. 3 86
Thermo Electron Corp. (b) 5 146
Waters Corp. (b) 4 164
1,761
Engineering & Construction - 0.0%
Fluor Corp. (l) 3 146
Entertainment - 0.1%
International Game Technology 11 363
Environmental Control - 0.2%
Allied Waste Industries Inc. (b) 9 87
Waste Management Inc. 18 535
622
Food - 1.7%
Albertson's Inc. 12 278
Campbell Soup Co. (l) 13 378
ConAgra Foods Inc. 17 490
General Mills Inc. 12 595
H.J. Heinz Co. 11 416
Hershey Foods Corp. 8 418
Kellogg Co. 13 580
Kroger Co. (b) 23 407
McCormick & Co. Inc. 4 155
Safeway Inc. (b) 14 275
Sara Lee Corp. 25 599
Supervalu Inc. 4 153
Sysco Corp. 20 764
WM.Wrigley Jr. Co. 7 489
5,997
Forest Products & Paper - 0.6%
Georgia-Pacific Corp. 8 292
International Paper Co. 15 639
Louisiana-Pacific Corp. 3 89
MeadWestvaco Corp. 6 204
Plum Creek Timber Co. Inc. 6 224
Temple-Inland Inc. 2 113
Weyerhaeuser Co. 7 503
2,064
Gas - 0.2%
KeySpan Corp. 5 189
Nicor Inc. (l) 1 46
Peoples Energy Corp. 1 59
Sempra Energy 7 264
558
Hand & Machine Tools - 0.1%
Black & Decker Corp. 2 213
Snap-On Inc. 2 60
Stanley Works 3 125
398
Healthcare - 4.9%
Aetna Inc. 5 594
Bausch & Lomb Inc. 2 107
Baxter International Inc. 19 665
Becton Dickinson & Co. 8 437
Biomet Inc. 8 336
Boston Scientific Corp. (b) 26 936
C.R. Bard Inc. 3 210
Guidant Corp. 10 709
HCA Inc. 13 527
Health Management Associates Inc. (l) 7 162
Humana Inc. (b) 5 140
Johnson & Johnson 92 5,840
Laboratory Corp. of America Holdings (b) 4 209
Manor Care Inc. 3 93
Medtronic Inc. 37 1,861
Quest Diagnostics Inc. 3 304
St. Jude Medical Inc. (b) 11 455
Stryker Corp. 13 604
Tenet Healthcare Corp. (b) 14 153
UnitedHealth Group Inc. 21 1,824
WellPoint Inc. (b) 9 1,007
Zimmer Holdings Inc. (b) 8 616
17,789
Home Builders - 0.2%
Centex Corp. 4 218
KB Home 1 144
Pulte Homes Inc. 4 245
607
Home Furnishings - 0.0%
Maytag Corp. 2 45
Whirlpool Corp. 2 136
181
Household Products - 0.6%
Avery Dennison Corp. 3 200
Clorox Co. 5 272
Fortune Brands Inc. 5 351
Kimberly-Clark Corp. 15 1,016
Newell Rubbermaid Inc. (l) 8 198
2,037
Insurance - 4.4%
ACE Ltd. 9 374
AFLAC Inc. 16 633
Allstate Corp. 22 1,120
AMBAC Financial Group Inc. 3 282
American International Group Inc. 81 5,310
AON Corp. 10 229
Chubb Corp. 6 462
Cigna Corp. 4 349
Cincinnati Financial Corp. 5 234
Hartford Financial Services Group Inc. 9 639
Jefferson-Pilot Corp. 4 226
Lincoln National Corp. 6 258
Loews Corp. 6 398
Marsh & McLennan Cos. Inc. 16 537
MBIA Inc. 5 285
MetLife Inc. 23 951
MGIC Investment Corp. 3 216
Principal Financial Group 10 403
Progressive Corp. 6 536
Prudential Financial Inc. 16 890
Safeco Corp. 4 210
St. Paul Cos. Inc. 21 776
Torchmark Corp. 3 186
UnumProvident Corp. 9 155
XL Capital Ltd. 4 340
15,999
Internet - 1.3%
eBay Inc. (b) 21 2,384
Monster Worldwide Inc. (b) 3 112
Symantec Corp. (b) 20 509
Yahoo! Inc. (b) 42 1,599
4,604
Iron & Steel - 0.1%
Allegheny Technologies Inc. 3 60
Nucor Corp. 5 263
United States Steel Corp. 3 178
501
Leisure Time - 0.5%
Brunswick Corp. 3 142
Carnival Corp. (l) 20 1,142
Harley-Davidson Inc. 9 564
Sabre Holdings Corp. 4 91
1,939
Lodging - 0.4%
Harrah's Entertainment Inc. 3 228
Hilton Hotels Corp. 12 277
Marriott International Inc. - Class A 7 453
Starwood Hotels & Resorts Worldwide Inc. 7 383
1,341
Machinery - 0.6%
Caterpillar Inc. 11 1,043
Cummins Inc. 1 104
Deere & Co. 8 577
Rockwell Automation Inc. 6 286
2,010
Manufacturing - 5.9%
3M Co. 24 1,988
Cooper Industries Ltd. - Class A 3 190
Danaher Corp. 10 555
Dover Corp. 6 267
Eastman Kodak Co. 9 290
Eaton Corp. 5 344
General Electric Capital Corp. 328 11,960
Honeywell International Inc. 27 953
Illinois Tool Works Inc. 9 870
Ingersoll-Rand Co. - Class A 5 429
ITT Industries Inc. 3 243
Leggett & Platt Inc. 6 164
Pall Corp. 4 106
Parker Hannifin Corp. 4 284
Textron Inc. 4 322
Tyco International Ltd. 63 2,237
21,202
Media - 3.7%
Clear Channel Communications Inc. 18 618
Comcast Corp. - Class A (b) 70 2,319
Dow Jones & Co. Inc. (l) 2 101
Gannett Co. Inc. 8 679
Knight-Ridder Inc. 2 156
McGraw-Hill Cos. Inc. 6 547
Meredith Corp. 1 79
New York Times Co. 4 179
News Corp Inc. 79 1,474
Time Warner Inc. (b) 142 2,755
Tribune Co. 10 420
Univision Communications Inc. (b) (l) 10 294
Viacom Inc. - Class B 54 1,969
Walt Disney Co. 64 1,770
13,360
Mining - 0.5%
Alcoa Inc. 27 854
Freeport-McMoRan Copper & Gold Inc. 6 214
Newmont Mining Corp. (l) 14 619
Phelps Dodge Corp. 3 292
1,979
Office & Business Equipment - 0.2%
Pitney Bowes Inc. 7 335
Xerox Corp. (b) 26 448
783
Oil & Gas Producers - 6.0%
Amerada Hess Corp. 3 225
Anadarko Petroleum Corp. 8 508
Apache Corp. 10 514
Burlington Resources Inc. 12 539
ChevronTexaco Corp. 66 3,468
ConocoPhillips 21 1,853
Devon Energy Corp. 15 589
EOG Resources Inc. 4 263
Exxon Mobil Corp. 202 10,348
Kerr-McGee Corp. 5 278
Marathon Oil Corp. 11 396
Nabors Industries Ltd. (b) 5 239
Noble Corp. (b) 4 205
Occidental Petroleum Corp. 12 717
Rowan Cos. Inc. (b) 3 83
Sunoco Inc. 2 196
Transocean Inc. (b) 10 415
Unocal Corp. 8 354
Valero Energy Corp. 8 363
XTO Energy Inc. 7 250
21,803
Oil & Gas Services - 0.7%
Baker Hughes Inc. 10 434
BJ Services Co. 5 226
Halliburton Co. 14 543
Schlumberger Ltd. 18 1,233
2,436
Packaging & Containers - 0.1%
Ball Corp. 3 144
Bemis Co. 3 93
Pactiv Corp. (b) 5 123
Sealed Air Corp. (b) 3 135
495
Pharmaceuticals - 5.8%
Abbott Laboratories 48 2,259
Allergan Inc. 4 338
AmerisourceBergen Corp. 3 201
Bristol-Myers Squibb Co. 61 1,556
Cardinal Health Inc. 13 782
Caremark Rx Inc. (b) 15 576
Eli Lilly & Co. 35 2,000
Express Scripts Inc. - Class A (b) 3 193
Forest Laboratories Inc. (b) 12 521
Gilead Sciences Inc. (b) 14 472
Hospira Inc. (b) 5 154
King Pharmaceuticals Inc. (b) 7 86
Medco Health Solutions Inc. (b) 8 349
Merck & Co. Inc. 69 2,209
Mylan Laboratories Inc. 8 138
Pfizer Inc. 234 6,300
Schering-Plough Corp. 46 961
Watson Pharmaceuticals Inc. (b) 3 110
Wyeth 42 1,773
20,978
Pipelines - 0.2%
Dynegy Inc. - Class A (b) 12 55
El Paso Corp. (l) 19 199
Kinder Morgan Inc. 4 288
Williams Cos. Inc. 17 284
826
Real Estate - 0.5%
Apartment Investment & Management Co. 3 108
Archstone-Smith Trust 5 195
Equity Office Properties Trust 12 362
Equity Residential 8 308
ProLogis 6 250
Simon Property Group Inc. 7 450
1,673
Retail - 6.7%
Autonation Inc. (b) 9 167
Autozone Inc. (b) 3 237
Bed Bath & Beyond Inc. (b) 9 377
Best Buy Co. Inc. 10 604
Big Lots Inc. (b) 3 36
Circuit City Stores Inc. 6 94
Costco Wholesale Corp. 14 697
CVS Corp. 13 566
Darden Restaurants Inc. 5 141
Dillard's Inc. - Class A 3 67
Dollar General Corp. 10 202
Family Dollar Stores Inc. 5 157
Federated Department Stores Inc. 6 324
Gap Inc. 28 598
Home Depot Inc. 68 2,912
J.C. Penney Co. Inc. 9 375
Kohl's Corp. (b) 11 529
Limited Brands Inc. 12 285
Lowe's Cos. Inc. 24 1,402
May Department Stores Co. 9 271
McDonald's Corp. 39 1,257
Nordstrom Inc. 4 198
Office Depot Inc. (b) 9 163
OfficeMax Inc. 3 84
RadioShack Corp. 5 160
Sears Roebuck & Co. (l) 7 342
Staples Inc. 15 511
Starbucks Corp. (b) 12 779
Target Corp. 28 1,465
Tiffany & Co. 5 149
TJX Cos. Inc. 15 385
Toys "R" Us Inc. (b) 7 141
Walgreen Co. 32 1,227
Wal-Mart Stores Inc. 132 6,952
Wendy's International Inc. 3 131
Yum! Brands Inc. 9 430
24,415
Savings & Loans - 0.5%
Golden West Financial Corp. 10 584
Sovereign Bancorp. Inc. 11 244
Washington Mutual Inc. 27 1,154
1,982
Semiconductors - 3.0%
Advanced Micro Devices Inc. (b) (l) 11 247
Altera Corp. (b) 12 243
Analog Devices Inc. 12 438
Applied Materials Inc. (b) 53 907
Applied Micro Circuits Corp. (b) 8 32
Broadcom Corp. (b) 10 326
Freescale Semiconductor Inc. (b) 13 232
Intel Corp. 199 4,654
KLA-Tencor Corp. (b) 6 290
Linear Technology Corp. 9 367
LSI Logic Corp. (b) 12 65
Maxim Integrated Products Inc. 10 422
Micron Technology Inc. (b) (l) 19 239
National Semiconductor Corp. 11 191
Novellus Systems Inc. (b) 4 121
Nvidia Corp. (b) 5 119
PMC - Sierra Inc. (b) 5 59
QLogic Corp. (b) 3 114
Teradyne Inc. (b) 6 100
Texas Instruments Inc. 54 1,331
Xilinx Inc. 11 316
10,813
Software - 4.7%
Adobe Systems Inc. 8 473
Autodesk Inc. 7 275
Automatic Data Processing Inc. 18 810
BMC Software Inc. (b) 7 138
Citrix Systems Inc. (b) 5 124
Computer Associates International Inc. 18 568
Compuware Corp. (b) 12 77
Electronic Arts Inc. (b) 9 586
First Data Corp. 27 1,139
Fiserv Inc. (b) 6 234
IMS Health Inc. 7 159
Intuit Inc. (b) (l) 6 264
Mercury Interactive Corp. (b) (l) 3 124
Microsoft Corp. 337 9,012
Novell Inc. (b) 12 79
Oracle Corp. (b) 160 2,199
Parametric Technology Corp. (b) 7 40
Siebel Systems Inc. (b) 15 163
Veritas Software Corp. (b) 14 391
16,855
Telecommunications - 2.9%
Alltel Corp. 10 567
AT&T Corp. 25 475
BellSouth Corp. 57 1,575
CenturyTel Inc. 4 146
Citizens Communications Co. 10 140
Qwest Communications International Inc. (b) 58 255
SBC Communications Inc. 103 2,646
Sprint Corp. - FON Group (l) 45 1,128
Verizon Communications Inc. 86 3,479
10,411
Telecommunications Equipment - 1.6%
ADC Telecommunications Inc. (b) 24 65
Andrew Corp. (b) 5 68
Avaya Inc. (b) 13 231
CIENA Corp. (b) 16 55
Cisco Systems Inc. (b) 207 3,987
Comverse Technology Inc. (b) 6 140
Corning Inc. (b) 44 514
JDS Uniphase Corp. (b) 42 134
Lucent Technologies Inc. (b) 135 508
Scientific-Atlanta Inc. 5 154
Tellabs Inc. (b) 12 106
5,962
Textiles - 0.1%
Cintas Corp. 5 237
Tobacco - 1.2%
Altria Group Inc. 64 3,886
Reynolds American Inc. (l) 5 364
UST Inc. 5 251
4,501
Toys & Hobbies - 0.1%
Hasbro Inc. 5 102
Mattel Inc. 13 255
357
Transportation - 1.6%
Burlington Northern Santa Fe Corp. 12 550
CSX Corp. 7 272
FedEx Corp. 9 926
Norfolk Southern Corp. 12 437
Ryder System Inc. 2 92
Union Pacific Corp. 8 546
United Parcel Service Inc. 35 2,980
5,803
Wireless Telecommunications - 1.2%
Motorola Inc. 74 1,269
Nextel Communications Inc. (b) 35 1,045
Qualcomm Inc. 50 2,141
4,455
Total Common Stocks (cost $307,012) 350,917
Short Term Investments - 5.0%
Money Market Funds - 2.7%
Dreyfus Cash Management Plus, 1.98% (a) (n) 9,841 9,841
Securities Lending Collateral - 2.1%
Mellon GSL Delaware Business Trust Collateral Fund (n) 7,636 7,636
U.S. Treasury Bills - 0.1%
U.S. Treasury Bill, 2.21%, 03/17/05 (m) $500 498
Total Short Term Investments (cost $17,975) 17,975
Total Investments - 101.9% (cost $324,987) 368,892
Other Assets and Liabilities, Net - (1.9%) (6,808)
Total Net Assets - 100% $ 362,084
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Percentage of Total
Industry Sector Investments (o)
Financial 21.0%
Consumer, Non-cyclical 17.2%
Industrial 14.1%
Consumer, Cyclical 13.2%
Technology 9.3%
Communications 8.1%
Energy 5.0%
Basic Materials 4.6%
Money Market Investment 4.1%
Utilities 3.2%
Government 0.1%
Diversified 0.1%
100.0%
Common Stocks - 98.6%
Advertising - 0.5%
Advo Inc. 5 $ 165
APAC Customer Services Inc. (b) 2 3
Catalina Marketing Corp. 8 234
Greenfield Online Inc. (b) 1 22
Grey Global Group Inc. - 91
Marchex Inc. - Class B (b) (l) 1 13
R.H. Donnelley Corp. (b) 3 199
Sitel Corp. (b) 9 21
ValueVision Media Inc. - Class A (b) 3 38
Ventiv Health Inc. (b) 3 53
839
Aerospace & Defense - 1.4%
AAR Corp. (b) 5 65
Armor Holdings Inc. (b) 4 203
BE Aerospace Inc. (b) 9 99
Curtiss-Wright Corp. 3 178
DRS Technologies Inc. (b) 4 154
Ducommun Inc. (b) 1 22
EDO Corp. 2 72
Engineered Support Systems Inc. 3 201
Esterline Technologies Corp. (b) 4 122
GenCorp Inc. 7 129
Heico Corp. 2 48
Heico Corp. - Class A - 2
Herley Industries Inc. (b) 2 32
Innovative Solutions & Support Inc. (b) 1 37
Kaman Corp. - Class A 3 39
Moog Inc. - Class A (b) 4 180
MTC Technologies Inc. (b) 1 34
Orbital Sciences Corp. (b) (l) 8 92
Sequa Corp. - Class A (b) 1 55
Teledyne Technologies Inc. (b) 5 141
Titan Corp. (b) 13 206
Triumph Group Inc. (b) 2 93
United Industrial Corp. 2 63
2,267
Agriculture - 0.1%
Alico Inc. (b) 1 32
Delta & Pine Land Co. 6 156
Maui Land & Pineapple Co. Inc. (b) - 16
Tejon Ranch Co. (b) 1 49
253
Airlines - 0.6%
Airtran Holdings Inc. (b) 13 136
Alaska Air Group Inc. (b) (l) 4 143
America West Holdings Corp. - Class B (b) (l) 5 36
Continental Airlines Inc. (b) (l) 10 136
Delta Air Lines Inc. (b) (l) 16 117
ExpressJet Holdings Inc. (b) 6 73
Flyi Inc. (b) (l) 6 11
Frontier Airlines Inc. (b) 5 62
Mair Holdings Inc. (b) 1 9
Mesa Air Group Inc. (b) (l) 5 36
Northwest Airlines Corp. (b) (l) 11 120
Pinnacle Airlines Corp. (b) 3 39
Republic Airways Holdings Inc. (b) 1 7
SkyWest Inc. 9 175
1,100
Alternative Energy - 0.3%
Danielson Holdings Corp. (b) 7 57
FuelCell Energy Inc. (b) (l) 6 62
Headwaters Inc. (b) 5 145
KFX Inc. (b) (l) 7 97
Plug Power Inc. (b) (l) 7 43
Syntroleum Corp. (b) 4 31
435
Apparel - 0.9%
Carter's Inc. (b) 1 31
Cherokee Inc. 1 33
Deckers Outdoor Corp. (b) (l) 1 61
DHB Industries Inc. (b) (l) 4 68
Guess Inc. (b) 2 25
Gymboree Corp. (b) 4 56
Hampshire Group Ltd. (b) - 6
Hartmarx Corp. (b) 3 24
Kellwood Co. 4 142
K-Swiss Inc. - Class A 4 110
Oshkosh B'Gosh Inc. - Class A 1 22
Oxford Industries Inc. 2 83
Perry Ellis International Inc. (b) 1 15
Phillips-Van Heusen 4 96
Quiksilver Inc. (b) 8 250
Russell Corp. 4 83
Skechers U.S.A. Inc. - Class A (b) 3 39
Steven Madden Ltd. (b) 2 32
Stride Rite Corp. 6 63
Warnaco Group Inc. (b) 7 150
Weyco Group Inc. - 20
Wolverine World Wide Inc. 6 191
1,600
Auto Manufacturers - 0.1%
ASV Inc. (b) 1 58
Wabash National Corp. (b) 4 120
178
Auto Parts & Equipment - 1.0%
Aftermarket Technology Corp. (b) 2 29
ArvinMeritor Inc. 11 235
Bandag Inc. 2 84
Collins & Aikman Corp. (b) 6 26
Commercial Vehicle Group Inc. (b) 2 33
Cooper Tire & Rubber Co. 10 214
Exide Technologies (b) 3 40
Goodyear Tire & Rubber Co. (b) (l) 23 336
Hayes Lemmerz International Inc. (b) 6 51
Keystone Automotive Industries Inc. (b) 2 55
Modine Manufacturing Co. 4 120
Noble International Ltd. 1 18
Raytech Corp. (b) 2 4
Sports Resorts International Inc. (b) 1 2
Standard Motor Products Inc. 2 28
Strattec Security Corp. (b) 1 36
Superior Industries International Inc. (l) 3 95
Tenneco Automotive Inc. (b) 6 106
Tower Automotive Inc. (b) (l) 7 17
Visteon Corp. 19 190
1,719
Banks - 8.2%
1st Source Corp. 2 43
ABC Bancorp. 2 32
Alabama National Bancorp. 2 127
Amcore Financial Inc. 4 122
AmericanWest Bancorp. (b) 1 30
Arrow Financial Corp. 1 35
Associated Banc-Corp. 1 40
Bancfirst Corp. - 38
Bancorp Inc. (b) 1 15
Bancorpsouth Inc. 12 283
BancTrust Financial Group Inc. 1 33
Bank Mutual Corp. 12 145
Bank of Granite Corp. 2 40
Bank of the Ozarks Inc. 1 50
Banner Corp. 1 45
Boston Private Financial Holdings Inc. 4 111
Bryn Mawr Bank Corp. 1 19
Camden National Corp. 1 45
Capital City Bank Group Inc. 1 60
Capital Corp. of the West 1 32
Capital Crossing Bank (b) 1 21
Capitol Bancorp. Ltd. 1 52
Cascade Bancorp. 2 47
Cathay Bancorp. Inc. 7 247
Cavalry Bancorp. Inc. (l) - 7
Center Financial Corp. 1 28
Central Coast Bancorp. (b) 1 32
Central Pacific Financial Corp. 4 154
Century Bancorp. Inc. - Class A - 12
Chemical Financial Corp. 4 155
Chittenden Corp. 7 193
Citizens Banking Corp. 7 224
City Bank Lynnwood 1 40
City Holding Co. 3 92
Coastal Financial Corp. 2 38
CoBiz Inc. 2 40
Columbia Bancorp. 1 29
Columbia Banking Systems Inc. 2 58
Community Bank 1 9
Community Bank System Inc. 4 110
Community Banks Inc. 2 43
Community Trust Bancorp. Inc. 2 57
Corus Bankshares Inc. 2 114
CVB Financial Corp. 6 148
East-West Bancorp. Inc. 8 317
EuroBancshares Inc. (b) 1 25
Exchange National Bancshares Inc. (l) 1 14
Farmers Capital Bank Corp. 1 37
Financial Institutions Inc. 1 24
First Bancorp. 5 330
First Bancorp. 2 48
First Busey Corp. - Class A 2 35
First Charter Corp. 4 116
First Citizens Banc Corp. (l) - 9
First Citizens BancShares Inc. - Class A 1 141
First Commonwealth Financial Corp. 10 156
First Community Bancorp. 2 78
First Community Bancshares Inc. 2 57
First Financial Bancorp. 5 88
First Financial Bankshares Inc. 2 94
First Financial Corp. 2 69
First Indiana Corp. 1 15
First Merchants Corp. 3 76
First Midwest Bancorp. Inc. 7 253
First National Bankshares of Florida Inc. 9 215
First Oak Brook Bancshares Inc. 1 35
First of Long Island Corp. 1 29
First Republic Bank 2 105
First State Bancorp. 1 40
FNB Corp. 8 174
Foothill Independent Bancorp. 1 12
Frontier Financial Corp. 2 91
GB&T Bancshares Inc. 2 36
German American Bancorp. 1 17
Glacier Bancorp. Inc. 4 126
Gold Bancorp. Inc. 6 86
Great Southern Bancorp. Inc. 2 53
Greater Bay Bancorp. 8 217
Greater Community Bancorp. - -
Greene County Bancshares Inc. (l) 1 18
Hancock Holding Co. 4 139
Hanmi Financial Corp. 2 78
Harleysville National Corp. 4 104
Heartland Financial USA Inc. 1 30
IBERIABANK Corp. 1 61
Independent Bank Corp. 3 83
Independent Bank Corp. 2 74
Integra Bank Corp. 2 51
Interchange Financial Services Corp. 2 40
International Bancshares Corp. - 2
Irwin Financial Corp. 2 70
Lakeland Bancorp. Inc. 3 47
Lakeland Financial Corp. 1 35
Macatawa Bank Corp. 1 41
Main Street Banks Inc. 2 82
MainSource Financial Group Inc. 1 34
MB Financial Corp. 3 117
MBT Financial Corp. 2 49
Mercantile Bank Corp. 1 40
Mid-State Bancshares 4 103
Midwest Banc Holdings Inc. 2 34
Nara Bancorp. Inc. 3 56
National Bankshares Inc. (l) - 24
National Penn Bancshares Inc. 5 145
NBC Capital Corp. 1 28
NBT Bancorp. Inc. 5 127
Oak Hill Financial Inc. 1 22
Old National Bancorp. 10 259
Old Second Bancorp. Inc. 2 65
Omega Financial Corp. 2 55
Oriental Financial Group Inc. 3 73
Pacific Capital Bancorp. 7 232
Park National Corp. 2 297
Peapack Gladstone Financial Corp. 1 37
Pennrock Financial Services Corp. 1 45
Penns Woods Bancorp. Inc. - 17
Peoples Bancorp. Inc. 2 43
Peoples Holding Co. 1 42
Placer Sierra Bancshares 1 20
PrivateBancorp Inc. 2 78
Prosperity Bancshares Inc. 2 67
Provident Bankshares Corp. 5 175
R&G Financial Corp. - Class B 4 163
Republic Bancorp. Inc. 10 158
Republic Bancorp. Inc. - Class A 1 30
Riggs National Corp. 3 54
Royal Bancshares of Pennsylvania - Class A 1 16
S&T Bancorp. Inc. 4 133
S.Y. Bancorp. Inc. 2 38
Sandy Spring Bancorp. Inc. 2 86
Santander BanCorp. 1 26
SCBT Financial Corp. 1 40
Seacoast Banking Corp. 2 38
Security Bank Corp. 1 24
Shore Bancshares Inc. 1 27
Signature Bank (b) 1 29
Silicon Valley Bancshares (b) 5 233
Simmons First National Corp. - Class A 2 58
Smithtown Bancorp. Inc. 1 25
Southern Community Financial Corp. 2 23
Southside Bancshares Inc. 1 28
Southwest Bancorp. Inc. 2 38
Southwest Bancorp. of Texas Inc. 10 240
State Bancorp. Inc. 1 33
State Financial Services Corp. 1 27
Sterling Bancorp. - NYS 2 64
Sterling Bancshares Inc. 7 97
Sterling Financial Corp. 3 94
Suffolk Bancorp. 2 55
Sun Bancorp. Inc. (b) 1 36
Susquehanna Bancshares Inc. 7 168
Taylor Capital Group Inc. 1 17
Texas Capital Bancshares Inc. (b) 3 67
Texas Regional Bancshares Inc. - Class A 6 203
Tompkins Trustco Inc. 1 54
Trico Bancshares 2 40
TrustCo Bancorp. 11 150
Trustmark Corp. 7 221
UMB Financial Corp. 2 125
Umpqua Holdings Corp. 6 162
Union Bankshares Corp. 1 50
United Bankshares Inc. 6 210
United Community Banks Inc. 4 109
Univest Corp. of Pennsylvania 1 55
Unizan Financial Corp. 3 68
USB Holding Co. Inc. 2 44
Virginia Commerce Bancorp. (b) (l) 1 29
Virginia Financial Group Inc. 1 38
Washington Trust Bancorp. Inc. 2 57
WesBanco Inc. 3 89
West Bancorp. 2 43
West Coast Bancorp. 2 54
Westamerica Bancorp. 5 283
Western Sierra Bancorp. (b) 1 37
Wilshire Bancorp Inc. (b) 2 33
Wintrust Financial Corp. 3 178
Yardville National Bancorp. 1 43
14,292
Beverages - 0.1%
Boston Beer Co. Inc. - Class A (b) 1 28
Coca-Cola Co. 1 33
Farmer Bros. Co. 1 23
Hansen Natural Corp. (b) 1 29
National Beverage Corp. (b) 1 6
Peet's Coffee & Tea Inc. (b) 2 49
168
Biotechnology - 2.0%
Aksys Ltd. (b) (l) 1 6
Alexion Pharmaceuticals Inc. (b) 4 101
Applera Corp. - Celera Genomics Group (b) 11 152
Ariad Pharmaceuticals Inc. (b) 8 59
Avant Immunotherapeutics Inc. (b) 12 23
Axonyx Inc. (b) 8 47
Barrier Therapeutics Inc. (b) 1 17
BioCryst Pharmaceuticals Inc. (b) 2 14
Bio-Rad Laboratories Inc. - Class A (b) 3 149
Cambrex Corp. 4 108
CancerVax Corp. (b) (l) 2 26
Cell Genesys Inc. (b) (l) 7 54
Ciphergen Biosystems Inc. (b) 3 12
Corgentech Inc. (b) 1 8
CuraGen Corp. (b) (l) 7 47
Curis Inc. (b) 7 36
Cytogen Corp. (b) 2 24
Cytokinetics Inc. (b) 1 11
Decode Genetics Inc. (b) 7 56
Digene Corp. (b) 2 52
Diversa Corp. (b) 4 31
Encysive Pharmaceuticals Inc. (b) 8 83
Enzo Biochem Inc. (b) 4 71
Enzon Pharmaceuticals Inc. (b) 6 89
Exelixis Inc. (b) 9 88
Genaera Corp. (b) 9 29
Gene Logic Inc. (b) 4 14
Genelabs Technologies (b) 12 14
Genencor International Inc. (b) 1 19
Geron Corp. (b) (l) 7 55
GTx Inc. (b) 1 12
Harvard Bioscience Inc. (b) 1 3
Human Genome Sciences Inc. (b) 20 236
Illumina Inc. (b) 5 43
Immunogen Inc. (b) 6 49
Immunomedics Inc. (b) 7 20
Incyte Corp. (b) 10 102
Integra LifeSciences Holdings Corp. (b) 3 115
InterMune Inc. (b) 4 58
Keryx Biopharmaceuticals Inc. (b) 3 38
Kosan Biosciences Inc. (b) 3 21
Lexicon Genetics Inc. (b) 10 75
Lifecell Corp. (b) 4 45
Marshall Edwards Inc. (b) 1 7
Maxim Pharmaceuticals Inc. (b) (l) 4 11
Maxygen Inc. (b) 3 44
Momenta Pharmaceuticals Inc. (b) 1 7
Myogen Inc. (b) 3 23
Myriad Genetics Inc. (b) 5 103
Nanogen Inc. (b) (l) 7 53
Neose Technologies Inc. (b) 3 18
Northfield Laboratories Inc. (b) (l) 3 65
Oscient Pharmaceuticals Corp. (b) 9 34
Peregrine Pharmaceuticals Inc. (b) 14 16
Praecis Pharmaceuticals Inc. (b) 7 13
Regeneration Technologies Inc. (b) 4 37
Regeneron Pharmaceuticals Inc. (b) 5 50
Seattle Genetics Inc. (b) 5 31
Serologicals Corp. (b) 5 114
SuperGen Inc. (b) 7 52
Telik Inc. (b) 7 127
Tercica Inc. (b) 1 8
Third Wave Technologies Inc. (b) 4 34
Transkaryotic Therapies Inc. (b) 4 116
Vertex Pharmaceuticals Inc. (b) 12 127
3,402
Building Materials - 1.1%
Aaon Inc. (b) 1 21
Apogee Enterprises Inc. 4 56
Comfort Systems USA Inc. (b) 6 44
Drew Industries Inc. (b) 1 35
Eagle Materials Inc. 3 241
ElkCorp. 3 104
Genlyte Group Inc. (b) 2 158
Lennox International Inc. 7 137
LSI Industries Inc. 3 33
NCI Building Systems Inc. (b) 3 107
Simpson Manufacturing Co. Inc. 6 192
Texas Industries Inc. 3 197
Trex Co. Inc. (b) 2 81
Universal Forest Products Inc. 2 104
US Concrete Inc. (b) 3 25
USG Corp. (b) (l) 5 195
York International Corp. 6 217
1,947
Chemicals - 2.7%
A. Schulman Inc. 4 96
Aceto Corp. 2 45
Airgas Inc. 9 241
Albemarle Corp. 5 185
American Vanguard Corp. (l) 1 26
Arch Chemicals Inc. 3 99
Cabot Microelectronics Corp. (b) 4 152
Crompton Corp. 17 203
Cytec Industries Inc. 6 303
Ferro Corp. 6 147
FMC Corp. (b) 6 266
Georgia Gulf Corp. 4 213
Great Lakes Chemical Corp. 8 219
HB Fuller Co. 4 122
Hercules Inc. (b) 17 246
Kronos Worldwide Inc. - 20
MacDermid Inc. 4 148
Minerals Technologies Inc. 3 205
NewMarket Corp. (b) 2 37
NL Industries (b) 1 25
Octel Corp. 2 40
Olin Corp. 10 230
OM Group Inc. (b) 4 134
Omnova Solutions Inc. (b) 6 34
PolyOne Corp. (b) 13 122
Quaker Chemical Corp. 1 29
Sensient Technologies Corp. 7 171
Solutia Inc. (b) 9 10
Spartech Corp. 4 100
Stepan Co. 1 20
Symyx Technologies Inc. (b) 4 129
Terra Industries Inc. (b) (l) 7 65
The Mosaic Co. (b) 17 285
UAP Holding Corp. (b) 4 69
Valhi Inc. 1 24
W.R. Grace & Co. (b) 10 135
Wellman Inc. 5 52
Westlake Chemical Corp. 2 57
4,704
Commercial Services - 4.1%
Aaron Rents Inc. 6 144
ABM Industries Inc. 6 112
ACE Cash Express Inc. (b) 1 42
Administaff Inc. (b) 3 41
Advisory Board Co. (b) 3 100
Albany Molecular Research Inc. (b) 4 40
Alderwoods Group Inc. (b) 6 70
AMN Healthcare Services Inc. (b) 2 28
Arbitron Inc. (b) 5 179
Banta Corp. 4 168
Bowne & Co. Inc. 5 87
Bright Horizons Family Solutions Inc. (b) 2 127
CDI Corp. 2 37
Central Parking Corp. 3 42
Century Business Services Inc. (b) 9 39
Charles River Associates Inc. (b) 1 69
Chemed Corp. 2 126
Clark Inc. (b) 3 39
Coinstar Inc. (b) 4 100
Consolidated Graphics Inc. (b) 2 79
Cornell Cos. Inc. (b) 2 30
Corrections Corp. of America (b) 5 216
Corvel Corp. (b) 1 25
CoStar Group Inc. (b) 2 110
CPI Corp. 1 12
Cross Country Healthcare Inc. (b) 3 61
DiamondCluster International Inc. (b) 3 47
Dollar Thrifty Automotive Group (b) 4 111
Educate Inc. (b) 3 34
Electro Rent Corp. (b) 3 36
Euronet Worldwide Inc. (b) 3 89
Exponent Inc. (b) 1 25
First Advantage Corp. - Class A (b) 1 12
First Consulting Group Inc. (b) 2 13
First Health Group Corp. (b) 14 258
Forrester Research Inc. (b) 2 36
FTI Consulting Inc. (b) (l) 6 136
Gartner Inc. (b) 8 101
Geo Group Inc. (b) 1 30
Gevity HR Inc. 4 74
Greg Manning Auctions Inc. (b) (l) 1 6
Healthcare Services Group 2 47
Heidrick & Struggles International Inc. (b) 3 88
Hooper Holmes Inc. 9 52
Hudson Highland Group Inc. (b) 1 43
Huron Consulting Group Inc. (b) 1 22
Insurance Auto Auctions Inc. (b) 1 31
Integrated Electrical Services Inc. (b) (l) 4 21
Interactive Data Corp. (b) 5 117
Intersections Inc. (b) 1 19
iPayment Holdings Inc. (b) 2 78
Jackson Hewitt Tax Service Inc. 6 143
Kelly Services Inc. - Class A 3 79
kforce Inc. (b) 4 42
Korn/Ferry International (b) 5 96
Labor Ready Inc. (b) 6 102
Landauer Inc. 1 61
Learning Tree International Inc. (b) 1 17
LECG Corp. (b) 2 34
MAXIMUS Inc. (b) 3 86
McGrath Rentcorp. 1 63
Medical Staffing Network Holdings Inc. (b) 2 16
Midas Inc. (b) 2 44
Monro Muffler Brake Inc. (b) 1 37
MPS Group Inc. (b) 16 194
Navigant Consulting Inc. (b) 7 184
NCO Group Inc. (b) 4 102
Parexel International Corp. (b) 4 78
PDI Inc. (b) 1 27
PRA International (b) 1 32
Pre-Paid Legal Services Inc. (l) 1 52
PRG-Schultz International Inc. (b) 6 31
Princeton Review Inc. (b) 2 15
Proxymed Inc. (b) 1 10
QC Holdings Inc. (b) 1 15
Quanta Services Inc. (b) 11 85
Rent-Way Inc. (b) 4 30
Resources Connection Inc. (b) 3 187
Rewards Network Inc. (b) 3 18
Rollins Inc. 3 77
SFBC International Inc. (b) 2 77
Sotheby's Holdings Inc. - Class A (b) 7 121
Source Interlink Cos. Inc. (b) 3 36
SOURCECORP Inc. (b) 2 47
Spherion Corp. (b) 9 77
Startek Inc. 2 45
Stewart Enterprises Inc. - Class A (b) 16 110
Strayer Education Inc. 2 244
TeleTech Holdings Inc. (b) 5 52
TNS Inc. (b) 1 15
United Rentals Inc. (b) 6 121
Universal Technical Institute Inc. (b) 2 82
Valassis Communications Inc. (b) 8 279
Vertrue Inc. (b) (l) 1 29
Volt Information Sciences Inc. (b) 1 33
Watson Wyatt & Co. Holdings 5 128
7,102
Computers - 3.1%
3D Systems Corp. (b) - 3
ActivCard Corp. (b) 6 54
Advanced Digital Information Corp. (b) 9 95
Agilysys Inc. 4 75
Ansoft Corp. (b) 1 22
Anteon International Corp. (b) 4 171
BISYS Group Inc. (b) 18 298
Brocade Communications Systems Inc. (b) 39 299
CACI International Inc. - Class A (b) 4 301
CapitalSource Inc. (b) 3 12
Carreker Corp. (b) 3 24
Catapult Communications Corp. (b) 1 24
Ciber Inc. (b) 8 75
Covansys Corp. (b) 3 52
Cray Inc. (b) 13 59
Cyberguard Corp. (b) (l) 2 14
Digimarc Corp. (b) 2 22
Dot Hill Systems Corp. (b) 6 50
Echelon Corp. (b) 4 34
Electronics for Imaging Inc. (b) 8 142
Factset Research Systems Inc. 3 181
Gateway Inc. (b) 34 202
Hutchinson Technology Inc. (b) 4 133
iGate Capital Corp. (b) 3 13
Imation Corp. 5 172
InFocus Corp. (b) 6 56
Integral Systems Inc. 1 22
Intergraph Corp. (b) 5 137
InterVoice Inc. (b) 5 71
Iomega Corp. (b) 7 41
Kanbay International Inc. (b) 1 34
Komag Inc. (b) 4 76
Kronos Inc. (b) 5 237
LaserCard Corp. (b) (l) 2 16
Lexar Media Inc. (b) (l) 10 82
Magma Design Automation Inc. (b) 3 43
Manhattan Associates Inc. (b) 4 106
Maxwell Technologies Inc. (b) 2 16
McData Corp. (b) 17 103
Mentor Graphics Corp. (b) 12 177
Mercury Computer Systems Inc. (b) 3 95
Micros Systems Inc. (b) 2 190
Mobility Electronics Inc. (b) 3 29
MTS Systems Corp. 3 103
Ness Technologies Inc. (b) 2 31
Netscout Systems Inc. (b) 3 24
Overland Storage Inc. (b) 2 31
PalmOne Inc. (b) (l) 6 201
Pec Solutions Inc. (b) 2 26
Perot Systems Corp. (b) 11 183
Pomeroy Computer Resources (b) 1 14
Quantum Corp. (b) 26 68
Radiant Systems Inc. (b) 1 8
RadiSys Corp. (b) 3 52
SI International Inc. (b) 1 31
Silicon Graphics Inc. (b) (l) 28 49
Silicon Storage Technology Inc. (b) 12 71
SRA International Inc. - Class A (b) 2 126
Stratasys Inc. (b) (l) 1 42
SYKES Enterprises Inc. (b) 4 25
Synaptics Inc. (b) 3 99
Synplicity Inc. (b) 2 9
Syntel Inc. 1 19
Talx Corp. 2 53
Tier Technologies Inc. - Class B (b) 3 23
Transact Technologies Inc. (b) 1 26
Tyler Technologies Inc. (b) 5 45
Xybernaut Corp. (b) (l) 19 25
5,442
Cosmetics & Personal Care - 0.1%
Chattem Inc. (b) 3 83
DEL Laboratories Inc. (b) 1 27
Elizabeth Arden Inc. (b) 3 81
Inter Parfums Inc. (l) 1 10
Revlon Inc. - Class A (b) 22 50
251
Distribution & Wholesale - 0.9%
Advanced Marketing Services Inc. 2 21
Aviall Inc. (b) 4 83
Beacon Roofing Supply Inc. (b) 2 40
Brightpoint Inc. (b) 3 49
Building Material Holding Corp. 2 74
Central European Distribution Corp. (b) 2 55
Handleman Co. 3 72
LKQ Corp. (b) 2 44
Navarre Corp. (b) 3 58
Nuco2 Inc. (b) (l) 1 22
Owens & Minor Inc. 6 167
ScanSource Inc. (b) 2 120
SCP Pool Corp. 8 256
United Stationers Inc. (b) 5 235
Watsco Inc. 3 119
WESCO International Inc. (b) 3 91
1,506
Diversified Financial Services - 1.4%
Accredited Home Lenders Holding Co. (b) 2 117
Advanta Corp. - Class B 3 73
Affiliated Managers Group Inc. (b) 4 248
Archipelago Holdings Inc. (b) 2 34
Asset Acceptance Capital Corp. (b) 1 26
Asta Funding Inc. 1 38
BKF Capital Group Inc. 1 34
Calamos Asset Management Inc. - Class A (b) 4 95
Charter Municipal Mortgage Acceptance Co. 7 161
Cohen & Steers Inc. 1 16
Collegiate Funding Services LLC (b) 1 17
CompuCredit Corp. (b) 3 74
Credit Acceptance Corp. (b) 2 40
Education Lending Group Inc. (b) (l) 2 29
Encore Capital Group Inc. (b) 2 43
eSPEED Inc. (b) 3 43
Federal Agricultural Mortgage Corp. - Class C 1 27
Financial Federal Corp. 3 102
Gabelli Asset Management Inc. - Class A (l) 1 49
Greenhill & Co. Inc. 1 23
Investment Technology Group Inc. (b) 6 129
Knight Trading Group Inc. (b) (l) 18 192
LaBranche & Co. Inc. (b) (l) 8 73
MarketAxess Holdings Inc. (b) 1 14
Marlin Business Services Inc. (b) 1 15
Metris Cos. Inc. (b) 5 58
National Financial Partners Corp. 5 194
Nelnet Inc. (b) 1 35
Piper Jaffray Cos. (b) 3 144
Portfolio Recovery Associates Inc. (b) 2 73
Sanders Morris Harris Group Inc. 2 32
Stifel Financial Corp. (b) 1 23
SWS Group Inc. 2 51
United PanAm Financial Corp. (b) 1 17
World Acceptance Corp. (b) 2 67
2,396
Electric - 1.6%
Aquila Inc. (b) 36 132
Avista Corp. 7 129
Black Hills Corp. 5 151
Calpine Corp. (b) (l) 67 264
Central Vermont Public Service Corp. 2 44
CH Energy Group Inc. 2 112
Cleco Corp. 7 145
CMS Energy Corp. (b) (l) 29 306
Duquesne Light Holdings Inc. 12 217
El Paso Electric Co. (b) 7 132
Empire District Electric Co. 4 87
Idacorp Inc. 6 194
MGE Energy Inc. 3 106
Ormat Technologies Inc. (b) 1 20
Otter Tail Corp. 4 113
PNM Resources Inc. 9 230
Sierra Pacific Resources (b) 18 186
UIL Holdings Corp. 2 94
Unisource Energy Corp. 5 120
2,782
Electrical Components & Equipment - 0.9%
Advanced Energy Industries Inc. (b) 3 28
American Superconductor Corp. (b) 4 54
Artesyn Technologies Inc. (b) 5 58
Belden CDT Inc. 7 164
C&D Technologies Inc. 4 62
Capstone Turbine Corp. (b) 9 16
Cherokee International Corp. (b) 1 12
Color Kinetics Inc. (b) 1 11
Encore Wire Corp. (b) 2 30
Energy Conversion Devices Inc. (b) 3 57
EnerSys Manufactures Inc. (b) 2 29
General Cable Corp. (b) 6 81
GrafTech International Ltd. (b) 14 135
Intermagnetics General Corp. (b) 4 104
Littelfuse Inc. (b) 3 112
Magnetek Inc. (b) 3 23
Medis Technologies Ltd. (b) (l) 2 36
Powell Industries Inc. (b) 1 16
Power-One Inc. (b) 9 84
Rayovac Corp. (b) 5 155
Research Frontiers Inc. (b) (l) 1 8
Ultralife Batteries Inc. (b) 2 41
Universal Display Corp. (b) 3 28
Valence Technology Inc. (b) (l) 10 30
Vicor Corp. 3 37
Wilson Greatbatch Technologies Inc. (b) 3 72
1,483
Electronics - 2.6%
Analogic Corp. 2 78
BEI Technologies Inc. 2 49
Bel Fuse Inc. - Class B 2 58
Benchmark Electronics Inc. (b) 6 206
Brady Corp. - Class A 3 172
California Micro Devices Corp. (b) 3 22
Checkpoint Systems Inc. (b) 6 103
Coherent Inc. (b) 4 136
CTS Corp. 5 73
Cubic Corp. 2 59
Cyberoptics Corp. (b) 1 16
Cymer Inc. (b) 6 164
Daktronics Inc. (b) 2 51
DDi Corp. (b) (l) 4 11
Dionex Corp. (b) 3 158
Electro Scientific Industries Inc. (b) 4 80
Excel Technology Inc. (b) 2 47
Faro Technologies Inc. (b) 2 50
FEI Co. (b) 4 77
Identix Inc. (b) 13 96
Ii-Vi Inc. (b) 2 72
Itron Inc. (b) 3 76
Keithley Instruments Inc. 2 35
Kemet Corp. (b) 13 114
LeCroy Corp. (b) 1 28
Measurement Specialties Inc. (b) 2 41
Merix Corp. (b) 2 29
Methode Electronics Inc. 5 67
Metrologic Instruments Inc. (b) 1 32
Molecular Devices Corp. (b) 2 45
Multi-Fineline Electronix Inc. (b) 1 16
OSI Systems Inc. (b) 2 51
Park Electrochemical Corp. 3 55
Paxar Corp. (b) 5 113
Photon Dynamics Inc. (b) 2 59
Planar Systems Inc. (b) 2 24
Plexus Corp. (b) 6 82
RAE Systems Inc. (b) 5 39
Rofin-Sinar Technologies Inc. (b) 2 93
Rogers Corp. (b) 2 105
SBS Technologies Inc. (b) 2 31
Sonic Solutions Inc. (b) (l) 3 64
Spatialight Inc. (b) (l) 4 31
Stoneridge Inc. (b) 2 34
Sypris Solutions Inc. 1 16
Taser International Inc. (b) (l) 7 231
Technitrol Inc. (b) 6 111
Thomas & Betts Corp. (b) 9 273
Trimble Navigation Ltd. (b) 8 251
TTM Technologies Inc. (b) 6 71
Varian Inc. (b) 5 215
Viisage Technology Inc. (b) 5 41
Watts Industries Inc. 4 116
Woodhead Industries Inc. 2 26
Woodward Governor Co. 2 109
X-Rite Inc. 3 51
Zygo Corp. (b) 2 32
4,585
Engineering & Construction - 0.6%
Dycom Industries Inc. (b) 7 225
EMCOR Group Inc. (b) 2 104
Granite Construction Inc. 5 134
Infrasource Services Inc. (b) 1 17
Insituform Technologies Inc. (b) 4 90
Layne Christensen Co. (b) 2 27
Perini Corp. (b) 1 18
Shaw Group Inc. (b) 10 171
URS Corp. (b) 5 149
Washington Group International Inc. (b) 4 158
1,093
Entertainment - 1.1%
Alliance Gaming Corp. (b) (l) 8 107
Argosy Gaming Co. (b) 4 183
Bluegreen Corp. (b) 3 50
Carmike Cinemas Inc. 1 44
Championship Auto Racing Teams Inc. (b) 1 -
Churchill Downs Inc. 1 49
Dover Downs Gaming & Entertainment Inc. 1 15
Dover Motorsports Inc. 3 15
Empire Resorts Inc. (b) (l) 1 14
Isle of Capri Casinos Inc. (b) 2 51
Lakes Entertainment Inc. (b) 2 39
Macrovision Corp. (b) 7 191
Magna Entertainment Corp. (b) 5 33
Nevada Gold & Casinos Inc. (b) 1 15
Penn National Gaming Inc. (b) 5 292
Pinnacle Entertainment Inc. (b) 6 120
Scientific Games Corp. - Class A (b) 12 274
Shuffle Master Inc. (b) (l) 4 166
Six Flags Inc. (b) (l) 13 70
Speedway Motorsports Inc. 2 90
Steinway Musical Instruments (b) 1 26
Sunterra Corp. (b) 3 37
Vail Resorts Inc. (b) 3 66
1,947
Environmental Control - 0.6%
Aleris International Inc. (b) 4 66
Calgon Carbon Corp. 5 46
Casella Waste Systems Inc. (b) 3 43
Darling International Inc. (b) 10 43
Duratek Inc. (b) 1 36
Ionics Inc. (b) 3 120
Metal Management Inc. 3 73
Mine Safety Appliances Co. 3 166
Tetra Tech Inc. (b) 8 142
TRC Cos. Inc. (b) 1 22
Waste Connections Inc. (b) 7 247
1,004
Food - 1.2%
American Italian Pasta Co. (l) 2 57
Arden Group Inc. - Class A - 16
Cal-Maine Foods Inc. (l) 2 25
Chiquita Brands International Inc. 6 132
Corn Products International Inc. 6 295
Flowers Foods Inc. 5 165
Gold Kist Inc. (b) 2 30
Great Atlantic & Pacific Tea Co. Inc. (b) 2 25
Hain Celestial Group Inc. (b) 4 77
Ingles Markets Inc. - Class A 1 17
J&J Snack Foods Corp. 1 42
John B. Sanfilippo & Son (b) 1 24
Lance Inc. 4 72
M&F Worldwide Corp. (b) 1 19
MGP Ingredients Inc. 1 10
Monterey Pasta Co. (b) 1 4
Nash Finch Co. 2 71
Pathmark Stores Inc. (b) 5 27
Performance Food Group Co. (b) 7 188
Ralcorp Holdings Inc. 4 184
Ruddick Corp. 5 109
Sanderson Farms Inc. 2 67
Seaboard Corp. - 32
United Natural Foods Inc. (b) 6 185
Weis Markets Inc. 2 63
Wild Oats Markets Inc. (b) 4 36
Winn-Dixie Stores Inc. 12 54
2,026
Forest Products & Paper - 0.5%
Buckeye Technologies Inc. (b) 4 55
Caraustar Industries Inc. (b) 4 71
Deltic Timber Corp. 2 64
Longview Fibre Co. 8 140
P.H. Glatfelter Co. 4 64
Pope & Talbot Inc. 2 38
Potlatch Corp. 4 225
Rock-Tenn Co. - Class A 4 64
Schweitzer-Mauduit International Inc. 2 76
Wausau-Mosinee Paper Corp. 7 120
917
Gas - 1.5%
Atmos Energy Corp. (l) 12 315
Cascade Natural Gas Corp. 2 35
Energen Corp. 5 320
EnergySouth Inc. 1 28
Laclede Group Inc. 3 94
New Jersey Resources Corp. 4 182
Nicor Inc. (l) 7 244
Northwest Natural Gas Co. 4 139
Peoples Energy Corp. 6 251
Piedmont Natural Gas Co. 12 267
South Jersey Industries Inc. 2 108
Southern Union Co. (b) 10 240
Southwest Gas Corp. 5 130
WGL Holdings Inc. 7 225
2,578
Hand & Machine Tools - 0.5%
Baldor Electric Co. 5 136
Franklin Electric Co. Inc. 2 103
Kennametal Inc. 5 271
Lincoln Electric Holdings Inc. 5 170
Milacron Inc. (b) 6 21
Regal-Beloit Corp. 4 108
809
Healthcare - 5.8%
Abaxis Inc. (b) 3 39
Abiomed Inc. (b) (l) 2 37
Advanced Medical Optics Inc. (b) (l) 5 222
Advanced Neuromodulation Systems Inc. (b) (l) 3 117
Align Technology Inc. (b) (l) 8 83
Alliance Imaging Inc. (b) 2 23
Amedisys Inc. (b) 2 65
America Service Group Inc. (b) 2 40
American Healthways Inc. (b) 4 144
American Medical Systems Holdings Inc. (b) 4 161
AMERIGROUP Corp. (b) 4 285
Amsurg Corp. (b) 5 134
Animas Corp. (b) 1 9
Apria Healthcare Group Inc. (b) 8 247
Arrow International Inc. 3 91
Arthrocare Corp. (b) 3 103
Aspect Medical Systems Inc. (b) 2 43
Beverly Enterprises Inc. (b) 16 148
Biolase Technology Inc. (l) 3 32
Bio-Reference Labs Inc. (b) 1 23
Biosite Inc. (b) (l) 2 118
Bioveris Corp. (b) 3 24
Bruker BioSciences Corp. (b) 3 11
Candela Corp. (b) 3 34
Cardiac Science Inc. (b) 11 23
Cardiodynamics International Corp. (b) 5 26
Centene Corp. (b) 6 174
Cepheid Inc. (b) 6 60
Cerus Corp. (b) 2 5
Closure Medical Corp. (b) 1 21
Conceptus Inc. (b) (l) 4 29
CONMED Corp. (b) 4 127
CTI Molecular Imaging Inc. (b) 5 67
Cyberonics Inc. (b) 3 52
Datascope Corp. 2 66
Diagnostic Products Corp. (l) 3 187
DJ Orthopedics Inc. (b) 3 57
Encore Medical Corp. (b) 5 31
Endocardial Solutions Inc. (b) 3 37
Epix Medical Inc. (b) 3 60
Exactech Inc. (b) 1 16
E-Z-EM Inc. (b) 1 15
Foxhollow Technologies Inc. (b) 1 17
Genesis HealthCare Corp. (b) 3 103
Gentiva Health Services Inc. (b) 4 62
Haemonetics Corp. (b) 3 107
Hanger Orthopedic Group Inc. (b) 3 27
Hologic Inc. (b) 3 85
ICU Medical Inc. (b) (l) 2 44
Immucor Inc. (b) 7 156
Immunicon Corp. (b) 1 6
Intralase Corp. (b) 1 28
Intuitive Surgical Inc. (b) 5 198
Invacare Corp. 4 179
Inverness Medical Innovations Inc. (b) 2 52
IVAX Diagnostics Inc. (b) 1 4
Kensey Nash Corp. (b) (l) 1 46
Kindred Healthcare Inc. (b) 4 116
Kyphon Inc. (b) 4 92
LabOne Inc. (b) 3 81
Laserscope (b) 3 94
LCA-Vision Inc. 2 53
Lifeline Systems Inc. (b) 2 42
LifePoint Hospitals Inc. (b) 6 202
Luminex Corp. (b) 4 34
Magellan Health Services Inc. (b) 4 140
Matria Healthcare Inc. (b) 2 60
Medcath Corp. (b) 1 22
Medical Action Industries Inc. (b) 1 24
Mentor Corp. 7 224
Merge Technologies Inc. (b) (l) 2 38
Merit Medical Systems Inc. (b) 4 56
Micro Therapeutics Inc. (b) 2 8
Microtek Medical Holdings Inc. (b) 6 24
Microvision Inc. (b) (l) 3 19
Molina Healthcare Inc. (b) 2 70
National Healthcare Corp. 1 32
Novoste Corp. (b) 1 2
NuVasive Inc. (b) 1 9
Oakley Inc. 3 40
Ocular Sciences Inc. (b) 3 150
Odyssey HealthCare Inc. (b) (l) 5 74
Option Care Inc. 2 36
OraSure Technologies Inc. (b) 6 38
Orthodontic Centers of America Inc. (b) (l) 6 40
Orthologic Corp. (b) 6 36
Orthovita Inc. (b) 7 30
Palatin Technologies Inc. (b) 8 21
Palomar Medical Technologies Inc. (b) 2 44
Pediatrix Medical Group Inc. (b) 3 222
PolyMedica Corp. 4 145
Possis Medical Inc. (b) 2 34
Province Healthcare Co. (b) 7 166
PSS World Medical Inc. (b) 10 124
Psychiatric Solutions Inc. (b) 2 77
Quest Diagnostics Inc. - 1
Quidel Corp. (b) 5 24
Radiation Therapy Services Inc. (b) 1 14
Radiologix Inc. (b) 1 3
RehabCare Group Inc. (b) 3 70
Res-Care Inc. (b) 3 38
Select Medical Corp. 14 244
Sierra Health Services Inc. (b) 3 192
Sola International Inc. (b) 5 134
Sonic Innovations Inc. (b) 3 13
SonoSite Inc. (b) 2 75
Specialty Laboratories Inc. (b) 1 14
Stereotaxis Inc. (b) (l) 1 9
Steris Corp. (b) 11 249
Sunrise Senior Living Inc. (b) (l) 2 111
SurModics Inc. (b) (l) 2 69
Sybron Dental Specialties Inc. (b) 6 206
Symbion Inc. (b) 1 26
Techne Corp. (b) 6 240
ThermoGenesis Corp. (b) 7 44
Thoratec Corp. (b) 7 73
TriPath Imaging Inc. (b) 4 35
United Surgical Partners International Inc. (b) 4 178
Urologix Inc. (b) 2 14
Ventana Medical Systems Inc. (b) 2 135
Viasys Healthcare Inc. (b) 5 88
VistaCare Inc. - Class A (b) 1 21
VISX Inc. (b) 7 190
Vital Signs Inc. 1 33
Vnus Medical Technologies Inc. (b) 1 12
WellCare Health Plans Inc. (b) 1 42
West Pharmaceutical Services Inc. 4 110
Wright Medical Group Inc. (b) 4 113
Young Innovations Inc. 1 22
Zila Inc. (b) 6 27
Zoll Medical Corp. (b) 1 45
10,033
Holding Companies - Diversified - 0.1%
Resource America Inc. - Class A 2 70
Walter Industries Inc. 4 119
189
Home Builders - 1.0%
Beazer Homes USA Inc. (l) 2 303
Brookfield Homes Corp. 2 75
Champion Enterprises Inc. (b) 11 126
Coachmen Industries Inc. 2 38
Dominion Homes Inc. (b) 1 14
Fleetwood Enterprises Inc. (b) 8 107
Levitt Corp. - Class A 2 68
M/I Schottenstein Homes Inc. 2 99
Meritage Corp. (b) 2 182
Modtech Holdings Inc. (b) 1 6
Monaco Coach Corp. 4 82
Orleans Homebuilders Inc. (b) - 8
Palm Harbor Homes Inc. (b) (l) 1 24
Skyline Corp. 1 40
Technical Olympic USA Inc. 1 36
Thor Industries Inc. 5 201
WCI Communities Inc. (b) 5 152
William Lyon Homes Inc. (b) 1 46
Winnebago Industries (l) 4 150
1,757
Home Furnishings - 0.5%
American Woodmark Corp. 2 69
Applica Inc. (b) 3 18
Bassett Furniture Industries Inc. 1 27
Digital Theater Systems Inc. (b) 2 48
Ethan Allen Interiors Inc. 5 200
Furniture Brands International Inc. 7 185
Hooker Furniture Corp. 1 23
Kimball International Inc. - Class B 3 49
La-Z-Boy Inc. 8 123
Salton Inc. (b) (l) - 1
Stanley Furniture Co. Inc. 1 38
Tempur-Pedic International Inc. (b) 3 57
Tivo Inc. (b) (l) 7 39
Universal Electronics Inc. (b) 2 35
912
Household Products - 1.1%
American Greetings Corp. - Class A (l) 10 242
Blyth Inc. 4 124
Central Garden & Pet Co. (b) 3 105
CSS Industries Inc. 1 35
Ennis Business Forms 4 74
Jarden Corp. (b) 4 175
John H. Harland Co. 4 153
Libbey Inc. 2 45
Lifetime Hoan Corp. 1 14
National Presto Industries Inc. 1 31
Playtex Products Inc. (b) 5 40
Russ Berrie & Co. Inc. 1 26
Standard Register Co. 2 26
Toro Co. 3 284
Tupperware Corp. 8 163
Water Pik Technologies Inc. (b) 1 24
WD-40 Co. 2 70
Yankee Candle Co. Inc. (b) 8 250
1,881
Insurance - 2.4%
21st Century Insurance Group 3 46
Affirmative Insurance Holdings Inc. 1 24
Alfa Corp. 5 74
American Equity Investment Life Holding Co. (l) 3 34
American Physicians Capital Inc. (b) 1 44
AmerUs Group Co. 6 268
Argonaut Group Inc. (b) 4 75
Baldwin & Lyons Inc. 1 30
Bristol West Holdings Inc. 2 46
Ceres Group Inc. (b) 5 24
Citizens Inc. (b) (l) 5 30
CNA Surety Corp. (b) 2 30
Commerce Group Inc. 4 226
Crawford & Co. - Class B 2 13
Delphi Financial Group Inc. - Class A 4 171
Direct General Corp. 2 77
Donegal Group Inc. 1 23
Emc Insurance Group Inc. 1 19
Enstar Group Inc. (b) - 28
FBL Financial Group Inc. - Class A 2 52
Fidelity National Financial Inc. - 3
First Acceptance Corp. (b) 3 28
FPIC Insurance Group Inc. (b) 1 39
Great American Financial Resources Inc. 1 18
Harleysville Group Inc. 2 44
Hilb Rogal & Hamilton Co. 5 170
Horace Mann Educators Corp. 6 123
Independence Holding Co. 1 11
Infinity Property & Casualty Corp. 3 111
Kansas City Life Insurance Co. 1 24
LandAmerica Financial Group Inc. 3 146
Midland Co. 1 41
National Western Life Insurance Co. - Class A (b) - 62
Navigators Group Inc. (b) 1 35
NYMAGIC Inc. - 12
Ohio Casualty Corp. (b) 9 216
Penn-America Group Inc. 1 21
Philadelphia Consolidated Holding Co. (b) 3 180
Phoenix Cos. Inc. (l) 14 178
PMA Capital Corp. (b) 4 40
Presidential Life Corp. 3 53
ProAssurance Corp. (b) 4 151
RLI Corp. 3 139
Safety Insurance Group Inc. 2 48
Selective Insurance Group 4 183
State Auto Financial Corp. 2 53
Stewart Information Services Corp. 3 104
Tower Group Inc. 2 28
Triad Guaranty Inc. (b) 1 85
UICI 6 189
United Fire & Casualty Co. 2 72
Universal American Financial Corp. (b) 4 62
USI Holdings Corp. (b) 5 64
Vesta Insurance Group Inc. 5 18
Zenith National Insurance Corp. 2 78
4,163
Internet - 3.5%
1-800 Contacts Inc. (b) 1 25
1-800-FLOWERS.COM Inc. (b) 3 29
24/7 Real Media Inc. (b) 4 19
Agile Software Corp. (b) 8 63
Alloy Inc. (b) (l) 5 40
answerthink Inc. (b) 6 30
Aquantive Inc. (b) 7 65
Ariba Inc. (b) 10 159
AsiaInfo Holdings Inc. (b) 5 29
At Road Inc. (b) 5 35
Autobytel Inc. (b) 6 37
Blue Coat Systems Inc. (b) 2 30
Blue Nile Inc. (b) (l) 1 17
Chordiant Software Inc. (b) 11 26
CMGI Inc. (b) 67 172
CNET Networks Inc. (b) (l) 19 216
Corillian Corp. (b) 5 24
CyberSource Corp. (b) 4 29
Digital Insight Corp. (b) 5 98
Digital River Inc. (b) 5 201
Digitas Inc. (b) 11 103
DoubleClick Inc. (b) 17 129
drugstore.com inc. (b) 6 21
E.piphany Inc. (b) 12 56
Earthlink Inc. (b) 20 227
eCollege.com Inc. (b) 2 27
Entrust Inc. (b) 9 35
Equinix Inc. (b) 1 60
eResearch Technology Inc. (b) (l) 7 103
F5 Networks Inc. (b) 5 251
FindWhat.com (b) 4 66
GSI Commerce Inc. (b) 3 50
Harris Interactive Inc. (b) 8 59
HomeStore.com Inc. (b) (l) 17 52
Infospace Inc. (b) 5 231
INTAC International Inc. (b) (l) 1 13
Interchange Corp. (b) (l) 1 13
Internap Network Services Corp. (b) 25 23
Internet Capital Group Inc. (b) (l) 6 50
Internet Security Systems Inc. (b) 6 136
Interwoven Inc. (b) 6 67
Ipass Inc. (b) 6 47
iVillage Inc. (b) 5 30
J2 Global Communications Inc. (b) 3 94
Jupitermedia Corp. (b) 3 59
Keynote Systems Inc. (b) 2 33
Kintera Inc. (b) 1 9
Lionbridge Technologies Inc. (b) 7 48
LookSmart Ltd. (b) 15 32
Marketwatch.com Inc. (b) 2 32
Matrixone Inc. (b) 8 51
Motive Inc. (b) 1 9
Neoforma Inc. (b) 1 8
Net2Phone Inc. (b) 5 18
NetBank Inc. 7 73
Netratings Inc. (b) 2 32
NIC Inc. (b) 4 21
Openwave Systems Inc. (b) 10 151
Opsware Inc. (b) 9 66
Overstock.com Inc. (b) 2 121
PC-Tel Inc. (b) 3 25
PlanetOut Inc. (b) 1 12
Portal Software Inc. (b) (l) 5 12
Priceline.com Inc. (b) (l) 4 84
ProQuest Co. (b) 4 104
Provide Commerce Inc. (b) 1 26
RealNetworks Inc. (b) 17 113
Redback Networks Inc. (b) 4 23
Register.com (b) 2 15
RightNow Technologies Inc. (b) 1 15
RSA Security Inc. (b) 10 210
S1 Corp. (b) 10 94
Sapient Corp. (b) 12 92
Secure Computing Corp. (b) 5 54
Seebeyond Technology Corp. (b) 7 25
Sohu.com Inc. (b) (l) 3 58
SonicWALL Inc. (b) 9 57
Stamps.com Inc. (b) 2 39
Stellent Inc. (b) 3 26
SupportSoft Inc. (b) 6 37
Terremark Worldwide Inc. (b) 37 23
Travelzoo Inc. (b) (l) - 29
Trizetto Group Inc. (b) 5 45
Tumbleweed Communications Corp. (b) 7 23
United Online Inc. (b) 8 93
Valueclick Inc. (b) 12 159
Verity Inc. (b) 5 60
Verso Technologies Inc. (b) (l) 14 10
Vignette Corp. (b) 31 43
Vitria Technology Inc. (b) 2 7
WatchGuard Technologies Inc. (b) 5 21
WebEx Communications Inc. (b) 5 109
WebMethods Inc. (b) 7 48
Websense Inc. (b) 3 175
WebSideStory Inc. (b) 1 12
Zix Corp. (b) (l) 3 16
6,044
Investment Companies - 0.2%
Apollo Investment Corp. (b) 9 138
Ares Capital Corp. 2 33
Capital Southwest Corp. - 24
Gladstone Capital Corp. (l) 1 33
Harris & Harris Group Inc. (b) 2 36
MCG Capital Corp. 5 85
NGP Capital Resources Co. (b) (l) 2 34
383
Iron & Steel - 1.0%
AK Steel Holding Corp. (b) 16 237
Allegheny Technologies Inc. (l) 14 310
Carpenter Technology Corp. 4 213
Cleveland-Cliffs Inc. 2 172
Gibraltar Industries Inc. 3 82
Oregon Steel Mills Inc. (b) 5 106
Reliance Steel & Aluminum Co. 4 161
Ryerson Tull Inc. 3 53
Schnitzer Steel Industries Inc. - Class A 3 97
Steel Dynamics Inc. 5 206
Steel Technologies Inc. 1 39
Wheeling-Pittsburgh Corp. (b) 1 45
1,721
Leisure Time - 0.4%
Ambassadors Group Inc. 1 41
Ambassadors Internaitonal Inc. - 8
Arctic Cat Inc. 2 53
Callaway Golf Co. (l) 10 133
Escalade Inc. 1 16
K2 Inc. (b) 6 101
Life Time Fitness Inc. (b) 2 44
Marine Products Corp. 1 32
Multimedia Games Inc. (b) 4 56
Nautilus Group Inc. 4 105
Navigant International Inc. (b) 2 24
Pegasus Solutions Inc. (b) 3 42
WMS Industries Inc. (b) 3 97
752
Lodging - 0.6%
Ameristar Casinos Inc. 2 73
Aztar Corp. (b) 5 182
Boyd Gaming Corp. 7 285
Gaylord Entertainment Co. (b) 5 189
La Quinta Corp. (b) 28 258
Marcus Corp. 3 72
MTR Gaming Group Inc. (b) 3 37
1,096
Machinery - 2.0%
Albany International Corp. 4 139
Applied Industrial Technologies Inc. 4 105
Astec Industries Inc. (b) 2 33
Bucyrus International Inc. Class A 2 77
Cascade Corp. 2 61
Cognex Corp. 6 169
Flowserve Corp. (b) 8 225
Gardner Denver Inc. (b) 3 109
Global Power Equipment Group Inc. (b) (l) 5 50
Gorman-Rupp Co. 1 30
IDEX Corp. (l) 8 305
Intevac Inc. (b) 2 16
JLG Industries Inc. 6 126
Joy Global Inc. 8 334
Kadant Inc. (b) 2 45
Lindsay Manufacturing Co. 2 46
Manitowoc Co. 4 167
Middleby Corp. 1 36
NACCO Industries Inc. - Class A 1 78
Nordson Corp. 4 159
Presstek Inc. (b) 4 37
Robbins & Myers Inc. 2 37
Sauer-Danfoss Inc. 2 35
Stewart & Stevenson Services Inc. 4 86
Tecumseh Products Co. 2 117
Tennant Co. 1 44
Terex Corp. (b) 7 352
Thomas Industries Inc. 2 83
UNOVA Inc. (b) 7 184
Wabtec Corp. 6 127
3,412
Manufacturing - 1.7%
Actuant Corp. - Class A (b) 4 205
Acuity Brands Inc. 6 204
Ameron International Corp. 1 43
AO Smith Corp. 3 78
Applied Films Corp. (b) 2 46
Aptargroup Inc. 6 290
Barnes Group Inc. 2 61
Blount International Inc. (b) 1 12
Ceradyne Inc. (b) 2 138
Clarcor Inc. 4 210
Cuno Inc. (b) 3 154
EnPro Industries Inc. (b) 3 94
ESCO Technologies Inc. (b) 2 149
Federal Signal Corp. 7 129
Flanders Corp. (b) 2 18
Griffon Corp. (b) 4 96
Hexcel Corp. (b) 4 59
Jacuzzi Brands Inc. (b) 11 97
Lancaster Colony Corp. 4 171
Matthews International Corp. - Class A 5 178
Myers Industries Inc. 3 45
Quixote Corp. 1 23
Raven Industries Inc. 2 47
Standex International Corp. 2 51
Sturm Ruger & Co. Inc. 3 28
Tredegar Corp. 4 85
Trinity Industries Inc. (l) 6 189
2,900
Media - 1.3%
4Kids Entertainment Inc. (b) 2 45
Beasley Broadcasting Group Inc. - Class A (b) 1 15
Charter Communications Inc. (b) (l) 40 89
Courier Corp. 1 52
Crown Media Holdings Inc. (b) 2 19
Cumulus Media Inc. - Class A (b) 7 113
Emmis Communications Corp. (b) 7 141
Entravision Communications Corp. (b) 7 59
Fisher Communications Inc. (b) 1 48
Gray Television Inc. 7 102
Hollinger International Inc. 8 132
Insight Communications Co. Inc. (b) 7 61
Journal Communications Inc. Class A 3 54
Journal Register Co. (b) 6 122
Liberty Corp. 2 105
Lin TV Corp. - Class A (b) 4 75
Lodgenet Entertainment Corp. (b) 2 36
Martha Stewart Living Omnimedia Inc. (b) (l) 2 52
Mediacom Communications Corp. (b) 10 61
Nexstar Broadcasting Group Inc. - Class A (b) 2 15
Paxson Communications Corp. (b) 6 8
Playboy Enterprises Inc. - Class B (b) 3 35
PRIMEDIA Inc. (b) 20 76
Pulitzer Inc. 1 82
Reader's Digest Association Inc. - Class A 15 207
Regent Communications Inc. (b) 5 28
Saga Communications Inc. (b) 2 42
Salem Communications Corp. - Class A (b) 1 37
Scholastic Corp. (b) 5 170
Sinclair Broadcast Group Inc. - Class A 7 61
Spanish Broadcasting System Inc. (b) 5 56
Thomas Nelson Inc. 1 34
Value Line Inc. - 8
World Wrestling Entertainment Inc. 2 23
Young Broadcasting Inc. (b) 2 26
2,289
Metal Fabrication & Hardware - 0.6%
CIRCOR International Inc. 2 54
Commercial Metals Co. 4 221
Intermet Corp. (l) 1 -
Kaydon Corp. 4 142
Lawson Products Inc. 1 35
Metals USA Inc. (b) 3 56
Mueller Industries Inc. 5 171
NN Inc. 2 32
NS Group Inc. (b) 3 74
Penn Engineering & Manufacturing Corp. 2 29
Quanex Corp. 2 169
Valmont Industries Inc. 2 55
1,038
Mining - 0.5%
Amcol International Corp. 3 65
Brush Engineered Materials Inc. (b) 3 49
Century Aluminum Co. (b) 3 74
Coeur D'alene Mines Corp. (b) 36 142
Compass Minerals International Inc. 2 56
Hecla Mining Co. (b) 17 101
Royal Gold Inc. 2 45
RTI International Metals Inc. (b) 3 67
Stillwater Mining Co. (b) 6 69
Titanium Metals Corp. (b) 1 24
USEC Inc. 12 118
810
Office & Business Equipment - 0.1%
General Binding Corp. (b) 1 10
Global Imaging Systems Inc. (b) 3 138
Imagistics International Inc. (b) 2 83
231
Office Furnishings - 0.0%
Compx International Inc. - 7
Interface Inc. (b) 7 66
Virco Manufacturing Corp. (b) 1 5
78
Oil & Gas Producers - 3.4%
Atlas America Inc. (b) (l) - 11
Atwood Oceanics Inc. (b) 2 93
Berry Petroleum Co. - Class A 3 130
Brigham Exploration Co. (b) 3 31
Cabot Oil & Gas Corp. 5 219
Callon Petroleum Co. (b) 2 25
Cheniere Energy Inc. (b) 4 242
Cimarex Energy Co. (b) 6 235
Clayton Williams Energy Inc. (b) 1 17
Comstock Resources Inc. (b) 5 116
Crosstex Energy Inc. (l) - 17
Delta Petroleum Corp. (b) (l) 3 42
Denbury Resources Inc. (b) 8 226
Edge Petroleum Corp. (b) 2 26
Encore Acquisition Co. (b) 4 127
Energy Partners Ltd. (b) 4 75
Forest Oil Corp. (b) 8 241
Frontier Oil Corp. 4 103
FX Energy Inc. (b) (l) 5 54
Giant Industries Inc. (b) 2 42
Grey Wolf Inc. (b) 28 149
Harvest Natural Resources Inc. (b) 5 91
Helmerich & Payne Inc. 8 259
Holly Corp. 3 87
Houston Exploration Co. (b) 2 110
KCS Energy Inc. (b) 7 107
Magnum Hunter Resources Inc. (b) 13 169
McMoRan Exploration Co. (b) (l) 3 49
Meridian Resource Corp. (b) 9 57
Mission Resources Corp. (b) 6 36
Parker Drilling Co. (b) 14 53
Penn Virginia Corp. 3 112
Petroleum Development Corp. (b) 2 94
Plains Exploration & Production Co. (b) 12 302
Quicksilver Resources Inc. (b) 4 159
Range Resources Corp. 10 208
Remington Oil & Gas Corp. (b) (l) 3 89
Southwestern Energy Co. (b) 5 275
Spinnaker Exploration Co. (b) 4 130
St. Mary Land & Exploration Co. 4 179
Stone Energy Corp. (b) 3 157
Swift Energy Co. (b) (l) 4 123
Tesoro Petroleum Corp. (b) 10 316
Todco - Class A (b) 2 31
Unit Corp. (b) 6 212
Vintage Petroleum Inc. 8 173
Whiting Petroleum Corp. (b) 4 120
5,919
Oil & Gas Services - 1.4%
CAL Dive International Inc. (b) 6 233
CARBO Ceramics Inc. 2 135
Dril-Quip Inc. (b) 1 22
Global Industries Ltd. (b) 12 99
Gulf Island Fabrication Inc. 1 24
Hanover Compressor Co. (b) 12 164
Hornbeck Offshore Services Inc. (b) 1 17
Hydril Co. (b) 2 107
Input/Output Inc. (b) 9 83
Key Energy Services Inc. (b) 20 232
Lone Star Technologies Inc. (b) 4 145
Lufkin Industries Inc. 1 41
Matrix Service Co. (b) (l) 3 20
Maverick Tube Corp. (b) 6 194
Newpark Resources Inc. (b) 12 64
Oceaneering International Inc. (b) 4 137
Oil States International Inc. (b) 4 83
RPC Inc. 2 38
Seacor Smit Inc. (b) 3 149
Superior Energy Services Inc. (b) 8 126
Tetra Technologies Inc. (b) 3 95
Universal Compression Holdings Inc. (b) 3 91
Veritas DGC Inc. (b) 5 114
W-H Energy Services Inc. (b) 4 82
2,495
Packaging & Containers - 0.4%
Anchor Glass Container Corp. 1 7
Chesapeake Corp. 3 79
Crown Holdings Inc. (b) 25 342
Graphic Packaging Corp. (b) 10 71
Greif Inc. - Class A 2 109
Silgan Holdings Inc. 2 99
707
Pharmaceuticals - 3.3%
Abgenix Inc. (b) 12 128
Able Laboratories Inc. (b) 3 60
Accelrys Inc. (b) 4 28
Adolor Corp. (b) 6 55
Advancis Pharmaceutical Corp. (b) 1 5
Alkermes Inc. (b) 14 191
Alpharma Inc. 6 97
Antigenics Inc. (b) (l) 4 39
Array Biopharma Inc. (b) 5 47
Atherogenics Inc. (b) (l) 6 133
Bentley Pharmaceuticals Inc. (b) 2 24
Bioenvision Inc. (b) 4 33
BioMarin Pharmaceuticals Inc. (b) 10 61
Bone Care International Inc. (b) 2 65
Bradley Pharmaceuticals Inc. (b) (l) 2 39
Caraco Pharmaceutical Laboratories Inc. (b) 2 14
Cell Therapeutics Inc. (b) (l) 9 74
Connetics Corp. (b) 5 116
Corcept Therapeutics Inc. (b) 1 4
Corixa Corp. (b) 9 33
Cubist Pharmaceuticals Inc. (b) 8 90
CV Therapeutics Inc. (b) 5 117
Cypress Bioscience Inc. (b) 5 63
Dendreon Corp. (b) (l) 9 95
Depomed Inc. (b) 3 17
Discovery Laboratories Inc. (b) 7 55
Dov Pharmaceutical Inc. (b) (l) 2 40
Durect Corp. (b) (l) 5 16
Dusa Pharmaceuticals Inc. (b) 2 30
Dyax Corp. (b) 4 30
Dynavax Technologies Corp. (b) 1 6
First Horizon Pharmaceutical Corp. (b) 4 88
Genta Inc. (b) (l) 8 15
Guilford Pharmaceuticals Inc. (b) 7 33
HealthExtras Inc. (b) 3 45
Hollis-Eden Pharmaceuticals Inc. (b) 2 20
Idenix Pharmaceuticals Inc. (b) 1 15
I-Flow Corp. (b) 3 49
Impax Laboratories Inc. (b) 7 116
Indevus Pharmaceuticals Inc. (b) 6 37
Inkine Pharmaceutical Co. (b) 7 40
Inspire Pharmaceuticals Inc. (b) 6 102
Isis Pharmaceuticals Inc. (b) 8 46
Isolagen Inc. (b) 3 24
Ista Pharmaceuticals Inc. (b) 1 12
Kos Pharmaceuticals Inc. (b) 2 64
KV Pharmaceutical Co. - Class A (b) 5 119
Lannett Co. Inc. (b) 1 7
Ligand Pharmaceuticals Inc. - Class B (b) (l) 11 130
Mannatech Inc. 2 38
MannKind Corp. (b) (l) 2 30
Medarex Inc. (b) (l) 12 129
Medicines Co. (b) (l) 7 209
Nabi Biopharmaceuticals (b) 9 128
Nature's Sunshine Products Inc. 2 33
NeighborCare Inc. (b) 5 155
Neopharm Inc. (b) (l) 3 32
Neurogen Corp. (b) 4 34
NitroMed Inc. (b) 2 45
Noven Pharmaceuticals Inc. (b) 4 61
NPS Pharmaceuticals Inc. (b) 6 102
Nutraceutical International Corp. (b) 1 18
Nuvelo Inc. (b) 4 40
Omega Protein Corp. (b) 1 6
Onyx Pharmaceuticals Inc. (b) (l) 5 169
Pain Therapeutics Inc. (b) 5 33
Par Pharmaceutical Cos. Inc. (b) 5 215
Penwest Pharmaceuticals Co. (b) 2 28
Perrigo Co. 10 164
PetMed Express Inc. (b) 2 12
Pharmacyclics Inc. (b) 3 28
Pharmion Corp. (b) 2 93
Pharmos Corp. (b) 14 20
Pozen Inc. (b) 3 23
Priority Healthcare Corp. (b) 4 95
Progenics Pharmaceuticals Inc. (b) 2 30
Renovis Inc. (b) 1 12
Rigel Pharmaceuticals Inc. (b) 2 39
Salix Pharmaceuticals Ltd. (b) 5 96
Santarus Inc. (b) 1 11
Sciclone Pharmaceuticals Inc. (b) 6 23
Star Scientific Inc. (b) 4 21
Tanox Inc. (b) 3 53
Trimeris Inc. (b) 2 31
United Therapeutics Corp. (b) 3 127
Usana Health Sciences Inc. (b) 2 56
Valeant Pharmaceuticals International (l) 13 332
Vicuron Pharmaceuticals Inc. (b) 8 131
Vion Pharmaceuticals Inc. (b) 9 40
Virbac Corp. (b) (l) 1 2
Vivus Inc. (b) 4 18
Zymogenetics Inc. (b) 3 67
5,796
Pipelines - 0.0%
Transmontaigne Inc. (b) 3 19
Real Estate - 7.4%
Aames Investment Corp. 5 56
Acadia Realty Trust 4 64
Affordable Residential Communities 4 53
Alexander's Inc. (b) - 66
Alexandria Real Estate Equities Inc. 3 216
American Campus Communities Inc. 2 40
American Financial Realty Trust 17 267
American Home Mortgage Investment Corp. 5 175
AMLI Residential Properties 4 119
Anthracite Capital Inc. 8 100
Anworth Mortgage Asset Corp. (l) 7 73
Arbor Realty Trust Inc. 1 29
Ashford Hospitality Trust Inc. 3 34
Avatar Holdings Inc. (b) (l) 1 35
Bedford Property Investors 2 64
Bimini Mortgage Management, Inc. 3 48
BioMed Realty Trust Inc. 5 105
Brandywine Realty Trust 7 212
Capital Automotive REIT 6 200
Capital Lease Funding Inc. 3 43
Capital Trust Inc. - Class A 2 52
Capstead Mortgage Corp. (l) 3 28
CarrAmerica Realty Corp. 8 271
CB Richard Ellis Group Inc. (b) 4 129
Cedar Shopping Centers Inc. 3 36
Colonial Properties Trust 3 112
Commercial Net Lease Realty 8 161
Consolidated-Tomoka Land Co. 1 38
Cornerstone Realty Income Trust Inc. 7 74
Corporate Office Properties Trust 6 164
Correctional Properties Trust 2 49
Cousins Properties Inc. 5 160
CRT Properties Inc. 5 113
Digital Realty Trust Inc. 3 39
Eastgroup Properties Inc. 3 123
Entertainment Properties Trust 4 173
Equity Inns Inc. 7 87
Equity Lifestyle Properties Inc. 3 99
Equity One Inc. 5 123
Essex Property Trust Inc. 3 289
Extra Space Storage Inc. 3 43
FelCor Lodging Trust Inc. (b) 7 107
First Industrial Realty Trust Inc. 6 254
Gables Residential Trust 4 159
Getty Realty Corp. 3 76
Glenborough Realty Trust Inc. 4 87
Glimcher Realty Trust 5 145
Global Signal Inc. 2 41
GMH Communities Trust 5 65
Government Properties Trust Inc. 3 27
Gramercy Capital Corp. 2 31
Healthcare Realty Trust Inc. 7 293
Heritage Property Investment Trust (l) 4 133
Highland Hospitality Corp. 5 60
Highwoods Properties Inc. 8 225
Home Properties of NY Inc. 5 212
HomeBanc Corp. 5 48
IMPAC Mortgage Holdings Inc. 11 255
Innkeepers USA Trust 5 71
Investors Real Estate Trust 7 70
Jones Lang LaSalle Inc. (b) 5 182
Kilroy Realty Corp. 4 183
Kite Realty Group Trust 3 43
Kramont Realty Trust 4 83
LaSalle Hotel Properties 4 130
Lexington Corporate Properties Trust 7 164
LNR Property Corp. 3 164
LTC Properties Inc. 2 43
Luminent Mortgage Capital Inc. 6 67
Maguire Properties Inc. 5 137
Meristar Hospitality Corp. (b) 13 107
MFA Mortgage Investments Inc. 12 104
Mid-America Apartment Communities Inc. 3 113
Mission West Properties 3 30
MortgageIT Holdings Inc. 2 36
National Health Investors Inc. 3 100
Nationwide Health Properties Inc. 10 237
New Century Financial Corp. (l) 6 381
Newcastle Investment Corp. 5 172
Novastar Financial Inc. (l) 4 203
Omega Healthcare Investors Inc. 8 90
Origen Financial Inc. 1 7
Parkway Properties Inc. 2 81
Pennsylvania Real Estate Investment Trust 5 202
Post Properties Inc. 6 210
Prentiss Properties Trust 7 255
PS Business Parks Inc. 2 105
RAIT Investment Trust 4 105
Ramco-Gershenson Properties Trust 2 66
Reading International Inc. (b) 2 17
Realty Income Corp. 6 303
Redwood Trust Inc. 3 163
Saul Centers Inc. 2 64
Saxon Capital Inc. 8 180
Senior Housing Properties Trust 8 153
Sovran Self Storage Inc. 2 98
Strategic Hotel Capital Inc. 3 50
Summit Properties Inc. 4 138
Sun Communities Inc. 2 97
Sunstone Hotel Investors Inc. 3 66
Tanger Factory Outlet Centers Inc. 4 110
Tarragon Realty Investors Inc. (b) (l) 1 16
Taubman Centers Inc. 7 223
Town & Country Trust 3 72
Trammell Crow Co. (b) 5 91
Universal Health Realty Income Trust 2 56
Urstadt Biddle Properties Inc. - Class A 3 53
US Restaurants Properties Inc. 3 58
U-Store-It Trust 4 76
Washington Real Estate Investment Trust 6 211
Winston Hotels Inc. 4 42
ZipRealty Inc. (b) 1 13
12,871
Retail - 5.7%
99 Cents Only Stores (b) (l) 7 120
AC Moore Arts & Crafts Inc. (b) 2 58
Aeropostale Inc. (b) 8 246
America's Car Mart Inc. (b) 1 30
Asbury Automotive Group Inc. (b) 2 23
Bebe Stores Inc. 1 37
Big 5 Sporting Goods Corp. 3 91
BJ's Restaurants Inc. (b) 2 23
Blair Corp. 1 46
Bob Evans Farms Inc. 5 136
Bombay Co. Inc. (b) 5 28
Brookstone Inc. (b) 3 55
Brown Shoe Co. Inc. 3 82
Buckle Inc. 1 34
Buffalo Wild Wings Inc. (b) 1 28
Build-A-Bear Workshop Inc. (b) 1 49
Burlington Coat Factory Warehouse Corp. 3 63
Cache Inc. (b) 1 24
California Pizza Kitchen Inc. (b) 3 66
Casey's General Stores Inc. 8 137
Cash America International Inc. 4 125
Casual Male Retail Group Inc. (b) (l) 4 23
Cato Corp. - Class A 3 85
CBRL Group Inc. (l) 8 314
CEC Entertainment Inc. (b) 6 224
Charlotte Russe Holding Inc. (b) 2 16
Charming Shoppes Inc. (b) 17 163
Children's Place Retail Stores Inc. (b) 3 93
Christopher & Banks Corp. (l) 6 105
CKE Restaurants Inc. (b) 8 114
Coldwater Creek Inc. (b) 3 103
Conn's Inc. (b) 1 17
Cosi Inc. (b) 3 18
Cost Plus Inc. (b) 3 102
CSK Auto Corp. (b) 7 114
Dave & Buster's Inc. (b) 2 35
DEB Shops Inc. 1 14
Design Within Reach Inc. (b) 1 9
Dick's Sporting Goods Inc. (b) (l) 5 161
Domino's Pizza Inc. 4 62
Dress Barn Inc. (b) 3 54
Electronics Boutique Holdings Corp. (b) 2 76
Factory 2-U Stores Inc. (b) (l) - -
Finish Line - Class A 6 101
First Cash Financial Services Inc. (b) 2 45
Footstar Inc. (b) (l) 2 8
Fred's Inc. 6 100
GameStop Corp. (b) 2 45
Gamestop Corp. (b) 3 69
Gander Mountain Co. (b) 1 12
Genesco Inc. (b) 3 103
Goody's Family Clothing Inc. 3 24
Group 1 Automotive Inc. (b) 3 89
Guitar Center Inc. (b) 4 192
Hancock Fabrics Inc. 3 28
Haverty Furniture Cos. Inc. 3 48
Hibbett Sporting Goods Inc. (b) 3 92
Hollywood Entertainment Corp. (b) 8 102
HOT Topic Inc. (b) (l) 7 119
IHOP Corp. 3 128
Insight Enterprises Inc. (b) 7 146
J. Jill Group Inc. (b) 3 39
Jack in the Box Inc. (b) 6 203
Jo-Ann Stores Inc. (b) 3 77
Jos. A. Banks Clothiers Inc. (b) (l) 1 40
Kenneth Cole Productions Inc. 1 39
Kirkland's Inc. (b) 2 20
Krispy Kreme Doughnuts Inc. (b) (l) 8 102
Landry's Restaurants Inc. 3 92
Linens 'N Things Inc. (b) 7 168
Lithia Motors Inc. - Class A 2 57
Lone Star Steakhouse & Saloon Inc. 2 64
Longs Drug Stores Corp. 4 122
MarineMax Inc. (b) 2 52
Men's Wearhouse Inc. (b) 5 148
Movado Group Inc. 2 41
Movie Gallery Inc. 4 68
New York & Co. Inc. (b) 2 26
Nu Skin Enterprises Inc. 8 201
O'Charleys Inc. (b) 3 59
Panera Bread Co. - Class A (b) (l) 4 174
Pantry Inc. (b) 2 53
Papa John's International Inc. (b) 2 58
Party City Corp. (b) 2 22
Payless Shoesource Inc. (b) 10 127
PC Connection Inc. (b) 1 10
PC Mall Inc. (b) 1 27
PEP Boys-Manny Moe & Jack 9 150
PF Chang's China Bistro Inc. (b) 4 219
Rare Hospitality International Inc. (b) 5 163
Red Robin Gourmet Burgers Inc. (b) 2 95
Restoration Hardware Inc. (b) 4 21
Retail Ventures Inc. (b) 2 14
Rush Enterprises Inc. (b) 1 23
Ryan's Restaurant Group Inc. (b) 6 95
School Specialty Inc. (b) 3 131
Select Comfort Corp. (b) 6 99
Sharper Image Corp. (b) 2 32
Shoe Carnival Inc. (b) 1 14
ShopKo Stores Inc. (b) 4 82
Smart & Final Inc. (b) 2 28
Sonic Automotive Inc. 4 103
Sonic Corp. (b) 9 273
Stage Stores Inc. (b) 3 116
Steak N Shake Co. (b) 4 75
Stein Mart Inc. (b) 4 64
Systemax Inc. (b) 2 11
TBC Corp. (b) 3 83
Texas Roadhouse Inc. - Class A (b) 2 47
The Bon-Ton Stores Inc. 1 13
The Sports Authority Inc. (b) 3 86
Too Inc. (b) 5 128
Tractor Supply Co. (b) 5 169
Trans World Entertainment Corp. (b) 3 39
Triarc Cos. 5 66
Tuesday Morning Corp. (b) 4 119
United Auto Group Inc. 3 82
West Marine Inc. (b) 2 51
World Fuel Services Corp. 2 84
Zale Corp. (b) 8 239
9,957
Savings & Loans - 2.1%
Anchor Bancorp. Inc. 3 80
Atlantic Coast Federal Inc. (b) 1 11
BankAtlantic Bancorp. Inc. 6 125
BankUnited Financial Corp. - Class A (b) 4 128
Berkshire Hills Bancorp. Inc. 1 30
Beverly Hills Bancorp. Inc. 2 19
BFC Financial Corp. (b) 1 11
Brookline Bancorp. Inc. 9 142
CFS Bancorp. Inc. 1 19
Charter Financial Corp. 1 25
Citizens First Bancorp. Inc. 1 30
Clifton Savings Bancorp. Inc. 2 26
Commercial Capital Bancorp. Inc. 5 124
Commercial Federal Corp. 6 183
Dime Community Bancshares Inc. 5 84
Downey Financial Corp. 3 171
Fidelity Bankshares Inc. 2 90
First Financial Holdings Inc. 2 59
First Niagara Financial Group Inc. 12 172
First Place Financial Corp. 2 45
FirstFed Financial Corp. (b) 2 126
Flagstar Bancorp. Inc. (l) 5 108
Flushing Financial Corp. 2 49
Franklin Bank Corp. (b) 2 31
Harbor Florida Bancshares Inc. 3 105
Horizon Financial Corp. 1 28
Hudson River Bancorp. 4 83
ITLA Capital Corp. (b) 1 46
K-Fed Bancorp. 1 12
KNBT Bancorp. Inc. 4 73
MAF Bancorp. Inc. 4 183
MASSBANK Corp. - 14
NASB Financial Inc. - 16
Northwest Bancorp. Inc. 3 66
OceanFirst Financial Corp. 1 32
Ocwen Financial Corp. (b) (l) 5 51
Parkvale Financial Corp. 1 16
Partners Trust Financial Group Inc. 7 84
Pennfed Financial Services Inc. 1 23
PFF Bancorp. Inc. 2 81
Provident Bancorp. Inc. 7 89
Provident Financial Holdings Inc. 1 18
Provident Financial Services Inc. 11 220
Sterling Financial Corp. (b) 3 135
TierOne Corp. 3 67
United Community Financial Corp. 4 45
Waypoint Financial Corp. 4 127
Westfield Financial Inc. 1 15
WSFS Financial Corp. 1 53
3,570
Semiconductors - 2.9%
Actel Corp. (b) 4 64
ADE Corp. (b) 1 26
Alliance Semiconductor Corp. (b) 3 10
AMIS Holdings Inc. (b) 5 78
Asyst Technologies Inc. (b) 7 34
ATMI Inc. (b) (l) 5 107
August Technology Corp. (b) 3 28
Axcelis Technologies Inc. (b) 15 119
Brooks Automation Inc. (b) 7 114
Ceva Inc. (b) (l) 2 16
Cirrus Logic Inc. (b) 12 69
Cohu Inc. 3 59
Credence Systems Corp. (b) (l) 15 133
Diodes Inc. (b) 1 23
DSP Group Inc. (b) 4 98
Dupont Photomasks Inc. (b) 2 55
Emulex Corp. (b) 12 209
Entegris Inc. (b) 7 66
ESS Technology (b) 5 33
Exar Corp. (b) 6 85
Formfactor Inc. (b) 4 114
FSI International Inc. (b) 5 21
Genesis Microchip Inc. (b) 5 79
Helix Technology Corp. 4 70
Integrated Device Technology Inc. (b) 16 184
Integrated Silicon Solutions Inc. (b) 5 45
IXYS Corp. (b) 3 27
Kopin Corp. (b) 10 38
Kulicke & Soffa Industries Inc. (b) (l) 8 67
Lattice Semiconductor Corp. (b) 17 95
Leadis Technology Inc. (b) 1 10
LTX Corp. (b) 9 67
Mattson Technology Inc. (b) 6 66
Micrel Inc. (b) 10 111
Microsemi Corp. (b) 9 156
Microtune Inc. (b) 7 45
Mindspeed Technologies Inc. (b) (l) 15 42
MIPS Technologies Inc. - Class A (b) 6 62
MKS Instruments Inc. (b) 5 92
Monolithic Power Systems Inc. (b) 1 8
Monolithic System Technology Inc. (b) 4 23
Mykrolis Corp. (b) 6 86
Omnivision Technologies Inc. (b) (l) 8 151
ON Semiconductor Corp. (b) 18 83
Pericom Semiconductor Corp. (b) 3 29
Photronics Inc. (b) 5 79
Pixelworks Inc. (b) 6 70
PLX Technology Inc. (b) 3 34
Portalplayer Inc. (b) 1 25
Power Integrations Inc. (b) 4 79
Rudolph Technologies Inc. (b) 2 30
Semitool Inc. (b) 2 23
Sigmatel Inc. (b) 4 128
Silicon Image Inc. (b) 11 183
Siliconix Inc. (b) 1 31
Sipex Corp. (b) 3 15
Sirf Technology Holdings Inc. (b) 2 20
Skyworks Solutions Inc. (b) 23 213
Staktek Holdings Inc. (b) 1 5
Standard Microsystems Corp. (b) 3 47
Supertex Inc. (b) 1 30
Tessera Technologies Inc. (b) 4 141
Transmeta Corp. (b) (l) 15 25
Tripath Technology Inc. (b) (l) 4 5
Triquint Semiconductor Inc. (b) 20 89
Ultratech Inc. (b) 3 58
Varian Semiconductor Equipment Associates Inc. (b) 6 204
Veeco Instruments Inc. (b) 4 82
Vitesse Semiconductor Corp. (b) 33 117
Volterra Semiconductor Corp. (b) (l) 1 16
Zoran Corp. (b) 6 76
5,022
Software - 3.4%
Actuate Corp. (b) 8 21
Advent Software Inc. (b) 4 74
Allscripts Healthcare Solutions Inc. (b) 4 42
Altiris Inc. (b) 3 112
Ansys Inc. (b) 5 150
Ascential Software Corp. (b) 9 147
Aspen Technology Inc. (b) (l) 6 40
Atari Inc. (b) 2 5
Authentidate Holding Corp. (b) 4 24
Blackbaud Inc. (b) 1 18
Blackboard Inc. (b) 1 13
Borland Software Corp. (b) 12 143
CallWave Inc. (b) 1 11
Captaris Inc. (b) 5 23
CCC Information Services Group (b) 2 38
Cerner Corp. (b) 4 228
Computer Programs & Systems Inc. 1 20
Concord Communications Inc. (b) 3 28
Concur Technologies Inc. (b) 4 36
CSG Systems International Inc. (b) 8 141
Datastream Systems Inc. (b) 2 15
Dendrite International Inc. (b) 5 103
Digi International Inc. (b) 3 53
Eclipsys Corp. (b) 5 110
eFunds Corp. (b) 7 173
Embarcadero Technologies Inc. (b) 3 27
Epicor Software Corp. (b) 6 89
EPIQ Systems Inc. (b) 2 30
FalconStor Software Inc. (b) (l) 4 39
FILENET Corp. (b) 6 162
Hyperion Solutions Corp. (b) 6 275
IDX Systems Corp. (b) 3 105
Infocrossing Inc. (b) (l) 2 37
Informatica Corp. (b) 13 106
infoUSA Inc. (b) 5 51
InPhonic Inc. (b) 1 33
Intelidata Technologies Corp. (b) 1 1
Inter-Tel Inc. 3 84
Intervideo Inc. (b) 1 19
JDA Software Group Inc. (b) 4 51
Keane Inc. (b) 8 113
Lawson Software Inc. (b) 8 55
Mantech International Corp. - Class A (b) 3 61
Manugistics Group Inc. (b) 8 23
MAPICS Inc. (b) 4 39
MAPINFO Corp. (b) 3 36
Micromuse Inc. (b) 12 66
MicroStrategy Inc. - Class A (b) 2 108
Midway Games Inc. (b) (l) 7 74
MRO Software Inc. (b) 3 37
MSC.Software Corp. (b) 4 41
NDCHealth Corp. 5 98
NETIQ Corp. (b) 8 103
Omnicell Inc. (b) 3 34
Onyx Software Corp. (b) - 1
Open Solutions Inc. (b) 2 49
Opnet Technologies Inc. (b) 2 15
Packeteer Inc. (b) 5 72
PalmSource Inc. (b) (l) 2 25
Parametric Technology Corp. (b) 40 238
PDF Solutions Inc. (b) 2 36
Pegasystems Inc. (b) 2 15
Per-Se Technologies Inc. (b) 3 51
Phase Forward Inc. (b) 1 7
Pinnacle Systems Inc. (b) 11 64
PLATO Learning Inc. (b) 4 27
Progress Software Corp. (b) 5 109
QAD Inc. 2 17
Quality Systems Inc. (b) - 29
Quest Software Inc. (b) 7 117
Renaissance Learning Inc. 1 18
Retek Inc. (b) 8 49
Safeguard Scientifics Inc. (b) 17 36
Salesforce.com Inc. (b) (l) 2 29
ScanSoft Inc. (b) 12 52
Schawk Inc. 1 24
Seachange International Inc. (b) 4 62
Serena Software Inc. (b) 4 83
SPSS Inc. (b) 2 32
SS&C Technologies Inc. 2 43
SYNNEX Corp. (b) 1 24
Take-Two Interactive Software Inc. (b) 7 234
THQ Inc. (b) 6 131
Tradestation Group Inc. (b) 3 20
Transaction Systems Architects Inc. (b) 5 109
Trident Microsystems Inc. (b) 3 47
Ulticom Inc. (b) 1 22
Ultimate Software Group Inc. (b) 3 32
Verint Systems Inc. (b) 2 62
VitalWorks Inc. (b) 5 22
Wind River Systems Inc. (b) 11 146
Witness Systems Inc. (b) 3 58
5,972
Storage/Warehousing - 0.0%
Mobile Mini Inc. (b) 2 70
Telecommunications - 0.6%
Alaska Communications Systems Group Inc. 2 13
Aspect Communications Corp. (b) 6 69
Cincinnati Bell Inc. (b) 37 154
Commonwealth Telephone Enterprises Inc. (b) 3 164
CT Communications Inc. 3 35
D&E Communications Inc. 2 22
General Communication - Class A (b) 7 74
Golden Telecom Inc. (l) 2 55
Hickory Tech Corp. 1 13
Infonet Services Corp. (b) 10 20
Intrado Inc. (b) 3 31
Iowa Telecommunicatoins Services Inc. 3 60
ITC Deltacom Inc. (b) (l) 2 3
MASTEC Inc. (b) 4 36
Primus Telecommunications GP (b) 11 34
PTEK Holdings Inc. (b) 10 102
Shenandoah Telecom Co. 1 30
SureWest Communications 2 59
Talk America Holdings Inc. (b) 4 27
Time Warner Telecom Inc. (b) 7 31
1,032
Telecommunications Equipment - 1.5%
Adaptec Inc. (b) (l) 16 122
Aeroflex Inc. (b) 10 118
Anaren Inc. (b) 3 36
Anixter International Inc. (b) 4 157
Applied Signal Technology Inc. 1 50
Arris Group Inc. (b) 13 93
Athero Communications Inc. (b) 1 14
Avanex Corp. (b) (l) 12 38
Black Box Corp. 2 117
Broadwing Corp. (b) (l) 7 66
C-COR.net Corp. (b) 6 59
CommScope Inc. (b) 8 154
Comtech Telecommunications (b) 2 81
Ditech Communications Corp. (b) 5 69
Eagle Broadband Inc. (b) (l) 24 16
Enterasys Networks Inc. (b) 23 41
Extreme Networks Inc. (b) 16 107
Finisar Corp. (b) (l) 25 58
Harmonic Inc. (b) 11 91
Hypercom Corp. (b) 7 43
Ixia Corp. (b) 4 67
KVH Industries Inc. (b) 2 22
MRV Communications Inc. (b) (l) 16 59
Netgear Inc. (b) 3 56
Network Equipment Technologies Inc. (b) 3 32
Newport Corp. (b) 7 92
NMS Communications Corp. (b) 7 42
North Pittsburgh Systems Inc. 2 56
Oplink Communications Inc. (b) 16 31
Optical Communication Products Inc. (b) 2 6
Paradyne Networks Corp. (b) 5 19
Parkervision Inc. (b) (l) 1 5
SafeNet Inc. (b) 4 132
Stratos Lightwave Inc. (b) - 1
Sycamore Networks Inc. (b) 26 108
Symmetricom Inc. (b) 7 64
Tekelec (b) 7 153
Terayon Communication Systems Inc. (b) 10 26
TippingPoint Technologies Inc. (b) 1 24
Westell Technologies Inc. (b) 8 52
WJ Communications Inc. (b) 5 18
Zhone Technologies Inc. (b) 7 20
2,611
Textiles - 0.1%
Angelica Corp. 1 35
G&K Services Inc. - Class A 3 113
Unifirst Corp. 1 40
188
Tobacco - 0.2%
DIMON Inc. 7 46
Standard Commercial Corp. 2 29
Universal Corp. 4 182
Vector Group Ltd. 4 62
319
Toys & Hobbies - 0.2%
Action Performance Cos. Inc. 2 25
Department 56 Inc. (b) 2 35
Jakks Pacific Inc. (b) 4 86
Leapfrog Enterprises Inc. (b) (l) 4 56
RC2 Corp. (b) 2 77
Topps Co. Inc. 5 54
333
Transportation - 2.3%
Alexander & Baldwin Inc. 6 271
Amerco Inc. (b) 1 64
Arkansas Best Corp. 3 151
Central Freight Lines Inc. (b) 1 6
Covenant Transport Inc. (b) 1 27
EGL Inc. (b) 5 162
Florida East Coast Industries - Class A 3 147
Forward Air Corp. (b) 3 145
GATX Corp. 7 220
Genesee & Wyoming Inc. - Class A (b) 3 74
Greenbrier Cos. Inc. 1 28
Gulfmark Offshore Inc. (b) 2 47
Heartland Express Inc. 7 153
Hub Group Inc. - Class A (b) 1 57
Interpool Inc. - 9
Kansas City Southern (b) 9 167
Kirby Corp. (b) 3 144
Knight Transportation Inc. 6 137
Laidlaw International Inc. (b) 16 334
Landstar System Inc. (b) 5 333
Marten Transport Ltd. (b) 1 30
Offshore Logistics Inc. (b) 3 97
Old Dominion Freight Line Inc. (b) 3 88
Overnite Corp. 4 156
Overseas Shipholding Group Inc. 4 226
Pacer International Inc. (b) 4 88
PAM Transportation Services (b) 1 17
Petroleum Helicopters Inc. (b) (l) - 6
Quality Distribution Inc. (b) 1 9
RailAmerica Inc. (b) 5 71
SCS Transportation Inc. (b) 2 52
Seabulk International Inc. (b) 1 17
Swift Transportation Co. Inc. (b) 7 149
US Xpress Enterprises Inc. (b) 1 29
USF Corp. 4 155
Werner Enterprises Inc. 7 164
4,030
Venture Capital - 0.0%
Circle Group Holdings Inc. (b) (l) 2 5
Water - 0.2%
American States Water Co. 3 67
California Water Service Group 3 98
Connecticut Water Service Inc. 1 30
Middlesex Water Co. 2 31
Pico Holdings Inc. (b) 1 24
SJW Corp. 1 33
Southwest Water Co. 3 39
322
Wireless Telecommunications - 1.0%
AirGate PCS Inc. (b) (l) 2 64
Airspan Networks Inc. (b) 5 24
Alamosa Holdings Inc. (b) (l) 11 140
Audiovox Corp. (b) 2 38
Boston Communications Group Inc. (b) 2 23
Carrier Access Corp. (b) 3 33
Centennial Communications Corp. (b) 1 12
Dobson Communications Corp. (b) 14 24
EMS Technologies Inc. (b) 2 25
InterDigital Communications Corp. (b) 8 186
Jamdat Mobile Inc. (b) 1 21
Novatel Wireless Inc. (b) 3 52
Powerwave Technologies Inc. (b) (l) 16 134
Price Communications Corp. (b) 6 109
REMEC Inc. (b) 9 66
RF Micro Devices Inc. (b) (l) 28 192
SBA Communications Corp. (b) 7 64
Spectralink Corp. 3 41
Stratex Networks Inc. (b) 14 32
Triton PCS Holdings Inc. (b) 6 19
Ubiquitel Inc. (b) 11 76
USA Mobility Inc. (b) 4 141
Viasat Inc. (b) 3 77
Wireless Facilities Inc. (b) 7 66
1,659
Total Common Stocks (cost $144,325) 171,411
Short Term Investments - 12.1%
Money Market Funds - 4.2%
Dreyfus Cash Management Plus, 1.98% (a) (n) 7,280 7,280
Securities Lending Collateral - 7.8%
Mellon GSL Delaware Business Trust Collateral Fund (n) 13,543 13,543
U.S. Treasury Bills - 0.1%
U.S. Treasury Bill, 2.21%, 03/17/05 (m) $250 249
Total Short Term Investments (cost $21,072) 21,072
Total Investments - 110.7% (cost $165,397) 192,483
Other Assets and Liabilities, Net - (10.7%) (18,576)
Total Net Assets - 100% $ 173,907
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Communications 23.4%
Consumer, Non-cyclical 18.6%
Financial 17.4%
Technology 9.1%
Consumer, Cyclical 7.8%
Energy 7.5%
Industrial 7.5%
Money Market Investment 7.0%
Utilities 1.0%
Diversified 0.7%
100.0%
Common Stocks - 92.5%
Advertising - 0.8%
JC Decaux SA (b) 36 $ 1,044
WPP Group Plc 77 851
1,895
Aerospace & Defense - 3.0%
Boeing Co. 21 1,062
Empresa Brasiliera de Aeronautica SA - ADR (l) 67 2,257
Lockheed Martin Corp. 17 961
Northrop Grumman Corp. 18 1,000
Raytheon Co. 43 1,658
6,938
Apparel - 0.3%
Coach Inc. (b) 12 694
Auto Manufacturers - 0.8%
Toyota Motor Corp. 48 1,933
Banks - 8.3%
ABN Amro Holding NV 83 2,207
Anglo Irish Bank Corp. Plc 53 1,287
Australia & New Zealand Banking Group Ltd. 60 963
Commerce Bancorp. Inc. (l) 7 444
HSBC Holdings Plc 141 2,419
ICICI Bank Ltd. - ADR 87 1,754
Northern Trust Corp. 15 724
Resona Holdings Inc. (b) 433 879
Royal Bank of Scotland Group Plc 135 4,525
Societe Generale 20 2,029
Wachovia Corp. 44 2,313
19,544
Beverages - 1.5%
Cia de Bebidas das Americas - ADR 41 1,163
Diageo Plc 29 414
Fomento Economico Mexicano SA de CV 210 1,102
Grupo Modelo SA 279 767
3,446
Biotechnology - 2.5%
Affymetrix Inc. (b) (l) 31 1,126
Amgen Inc. (b) 34 2,155
Genentech Inc. (b) (l) 19 1,045
Genzyme Corp. (b) 18 1,057
Human Genome Sciences Inc. (b) 21 254
Millennium Pharmaceuticals Inc. (b) 21 250
Nektar Therapeutics (b) 5 101
5,988
Commercial Services - 0.1%
Nektar Therapeutics Restricted (b) 11 180
Computers - 2.0%
Cadence Design Systems Inc. (b) (l) 66 914
International Business Machines Corp. 22 2,201
Sun Microsystems Inc. (b) 254 1,365
4,480
Cosmetics & Personal Care - 1.1%
Gillette Co. 38 1,702
Shiseido Co. Ltd. 52 753
2,455
Diversified Financial Services - 4.5%
American Express Co. 31 1,731
Charles Schwab Corp. 66 793
Citigroup Inc. 15 713
Credit Saison Co. Ltd. 34 1,252
JPMorgan Chase & Co. 91 3,556
MBNA Corp. 71 1,994
MLP AG 25 503
10,542
Electric - 0.4%
Electricidade de Portugal SA 200 605
Fortum Oyj 19 352
957
Electrical Components & Equipment - 1.2%
Samsung Electronics Co. Ltd. 4 1,946
Sharp Corp. 56 914
2,860
Electronics - 1.2%
Applera Corp. - Applied Biosystems Group 36 759
Keyence Corp. 3 778
Murata Manufacturing Co. Ltd. 16 889
Omron Corp. 10 239
2,665
Engineering & Construction - 0.2%
JGC Corp. 36 329
Entertainment - 0.6%
International Game Technology 42 1,447
Food - 1.2%
Cadbury Schweppes Plc 241 2,244
Carrefour SA 13 607
2,851
Gas - 0.6%
Gail India Ltd. 18 93
Hong Kong & China Gas Co. Ltd. 583 1,205
1,298
Hand & Machine Tools - 0.2%
Nidec Corp. 4 463
Healthcare - 2.4%
Cie Generale D'Optique Essilor International SA 13 988
Hoya Corp. 5 587
Quest Diagnostics Inc. 20 1,911
Smith & Nephew Plc 195 1,997
5,483
Holding Companies - Diversified - 0.7%
Hutchison Whampoa Ltd. 104 974
LVMH Moet Hennessy Louis Vuitton SA 8 618
1,592
Household Products - 2.4%
Hindustan Lever Ltd. 389 1,283
Reckitt Benckiser Plc 147 4,445
5,728
Insurance - 4.0%
ACE Ltd. 48 2,036
Aegon NV 116 1,589
Allianz AG 16 2,077
Berkshire Hathaway Inc. - Class B (b) 1 1,585
Everest Re Group Ltd. 9 833
Manulife Financial Corp. 27 1,270
9,390
Internet - 1.7%
Amazon.Com Inc. (b) (l) 21 935
Symantec Corp. (b) 46 1,190
Trend Micro Inc. (b) 24 1,295
Yahoo Japan Corp. (b) - 504
3,924
Investment Companies - 0.2%
Investor AB - Class B 45 576
Manufacturing - 0.9%
Nikon Corp. 85 1,047
Siemens AG 13 1,139
2,186
Media - 7.7%
Grupo Televisa SA - ADR 30 1,821
Pearson Plc 138 1,665
Reed Elsevier Plc 101 932
Singapore Press Holdings Ltd. 416 1,172
Sirius Satellite Radio Inc. (b) (l) 998 7,635
Societe Television Francaise 1 25 813
Television Broadcasts Ltd. 346 1,607
Wolters Kluwer NV 52 1,050
ZEE Telefilms Ltd. 340 1,338
18,033
Office & Business Equipment - 0.3%
Canon Inc. 15 810
Oil & Gas Producers - 6.5%
BP Plc - ADR 30 1,748
Burlington Resources Inc. 24 1,061
ChevronTexaco Corp. 35 1,812
EnCana Corp. 26 1,485
ENI-Ente Nazionale Idrocarburi SpA 39 969
GlobalSantaFe Corp. 66 2,185
Husky Energy Inc. 74 2,115
Oil & Natural Gas Corp. Ltd. 13 246
Total Fina Elf SA 4 885
Transocean Inc. (b) 67 2,819
15,325
Oil & Gas Services - 1.0%
Technip-Coflexip SA 12 2,300
Pharmaceuticals - 7.1%
AstraZeneca Plc 19 693
Chugai Pharmaceutical Co. Ltd. 54 896
Eli Lilly & Co. 12 675
Express Scripts Inc. - Class A (b) 12 910
Gilead Sciences Inc. (b) 52 1,809
Novartis AG 28 1,433
Pfizer Inc. 48 1,302
Roche Holding AG Genusschein 22 2,551
Sanofi-Synthelabo SA 51 4,076
Schering-Plough Corp. 58 1,215
Shionogi & Co. Ltd. 89 1,231
16,791
Retail - 5.6%
Boots Group Plc 72 911
Circuit City Stores Inc. 93 1,456
Dixons Group Plc 644 1,879
Gap Inc. 39 817
Hennes & Mauritz AB - Class B 144 5,016
RadioShack Corp. 24 786
Seven-Eleven Japan Co. Ltd. 23 725
Starbucks Corp. (b) 25 1,534
13,124
Semiconductors - 3.0%
Advanced Micro Devices Inc. (b) (l) 141 3,103
Altera Corp. (b) 19 389
National Semiconductor Corp. 82 1,477
Silicon Laboratories Inc. (b) (l) 12 413
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR 208 1,770
7,152
Shipbuilding - 0.3%
Hyundai Heavy Industries (b) 25 821
Software - 3.7%
BEA Systems Inc. (b) 103 908
Electronic Arts Inc. (b) 6 389
IMS Health Inc. 39 903
Infosys Technologies Ltd. 51 2,475
Novell Inc. (b) 135 912
Red Hat Inc. (b) 29 380
SAP AG 12 2,171
Veritas Software Corp. (b) 24 671
8,809
Telecommunications - 3.0%
France Telecom SA 64 2,127
KDDI Corp. 1 3,286
Tele Norte Leste Participacoes SA 98 1,635
7,048
Telecommunications Equipment - 3.2%
Alcatel SA (b) 74 1,146
Cisco Systems Inc. (b) 68 1,314
Corning Inc. (b) 91 1,076
JDS Uniphase Corp. (b) (l) 334 1,060
Juniper Networks Inc. (b) 32 865
Scientific-Atlanta Inc. 23 763
Tandberg ASA 101 1,252
7,476
Tobacco - 0.4%
Altria Group Inc. 10 587
ITC Ltd. 9 259
846
Transportation - 0.5%
Amadeus Global Travel Distribution SA 100 1,034
Peninsular and Oriental Steam Navigation Co. 43 243
1,277
Venture Capital - 0.3%
3i Group Plc 64 821
Wireless Telecommunications - 7.1%
Hutchison Telecommunications International Ltd. (b) 1 1
Qualcomm Inc. 51 2,145
SK Telecom Co. Ltd. - ADR (l) 63 1,405
Telefonaktiebolaget LM Ericsson (b) 1,593 5,082
Vodafone Group Plc 3,010 8,164
16,797
Total Common Stocks (cost $174,571) 217,274
Preferred Stocks - 0.4%
Auto Manufacturers - 0.4%
Porsche AG 2 1,042
Total Preferred Stocks (cost $876) 1,042
Corporate Bonds - 0.0%
Household Products - 0.0%
Hindustan Debenture, 9.00%, 01/01/05 INR $926 21
Total Corporate Bonds (cost $20) 21
Short Term Investments - 16.9%
Money Market Funds - 7.0%
Dreyfus Cash Management Plus, 1.98% (a) 11,766 11,766
Dreyfus Government Cash Management, 1.87% (a) 4,635 4,635
16,401
Securities Lending Collateral - 9.9%
Mellon GSL Delaware Business Trust Collateral Fund 23,383 23,383
Total Short Term Investments (cost $39,784) 39,784
Total Investments - 109.8% (cost $215,251) 258,121
Other Assets and Liabilities, Net - (9.8%) (23,050)
Total Net Assets - 100% $ 235,071
JNL/OPPENHEIMER GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Technology 25.3%
Consumer, Non-cyclical 21.3%
Communications 15.5%
Consumer, Cyclical 14.5%
Financial 8.8%
Industrial 8.5%
Energy 5.5%
Money Market Investment 0.6%
100.0%
Common Stocks - 99.5%
Advertising - 0.8%
Omnicom Group Inc. 2 $ 194
Aerospace & Defense - 0.5%
L-3 Communications Holdings Inc. 2 125
Apparel - 1.0%
Polo Ralph Lauren Corp. 6 234
Auto Parts & Equipment - 1.2%
Autoliv Inc. 6 290
Banks - 1.1%
Commerce Bancorp. Inc. (l) 4 258
Beverages - 2.6%
Coca-Cola Co. 6 246
PepsiCo Inc. 8 400
646
Biotechnology - 5.4%
Amgen Inc. (b) 9 548
Celgene Corp. (b) 4 114
Genentech Inc. (b) 8 413
Genzyme Corp. (b) 4 258
1,333
Commercial Services - 2.1%
Accenture Ltd. (b) 9 238
Apollo Group Inc. (b) (l) 3 258
496
Computers - 7.7%
Apple Computer Inc. (b) 4 283
Dell Inc. (b) 8 324
EMC Corp. (b) 44 650
International Business Machines Corp. 3 266
Network Appliance Inc. (b) 5 173
Sun Microsystems Inc. (b) 33 179
1,875
Cosmetics & Personal Care - 1.3%
Estee Lauder Cos. Inc. 7 311
Diversified Financial Services - 4.7%
American Express Co. 13 750
Legg Mason Inc. 1 103
Morgan Stanley 5 300
1,153
Electronics - 0.8%
Agilent Technologies Inc. (b) 8 195
Entertainment - 0.2%
DreamWorks Animation SKG Inc. (b) 2 56
Healthcare - 5.3%
Johnson & Johnson 2 146
Kinetic Concepts Inc. (b) 1 76
Medtronic Inc. 5 243
Stryker Corp. 5 233
Varian Medical Systems Inc. (b) 14 605
1,303
Insurance - 3.1%
AFLAC Inc. 4 171
American International Group Inc. 9 584
755
Internet - 3.4%
Amazon.Com Inc. (b) (l) 5 239
McAfee Inc. (b) 3 78
Monster Worldwide Inc. (b) (l) 4 124
Opsware Inc. (b) 26 191
Symantec Corp. (b) 2 62
VeriSign Inc. (b) 4 127
821
Leisure Time - 1.2%
Carnival Corp. 4 202
Harley-Davidson Inc. 2 103
305
Manufacturing - 5.6%
General Electric Capital Corp. 29 1,052
Tyco International Ltd. 9 309
1,361
Media - 1.5%
Comcast Corp. - Class A (b) 11 370
Oil & Gas Producers - 3.7%
Amerada Hess Corp. 4 288
Apache Corp. (l) 5 263
Noble Energy Inc. 6 364
915
Oil & Gas Services - 1.7%
Schlumberger Ltd. 6 422
Pharmaceuticals - 4.6%
Abbott Laboratories 7 304
Elan Corp. Plc - ADR (b) 10 275
Gilead Sciences Inc. (b) 16 548
1,127
Retail - 10.9%
Best Buy Co. Inc. 3 190
Chico's FAS Inc. (b) (l) 6 260
Home Depot Inc. 11 482
Kohl's Corp. (b) (l) 7 344
Staples Inc. 16 546
Target Corp. 12 633
Walgreen Co. 2 87
Williams-Sonoma Inc. (b) 4 123
2,665
Semiconductors - 5.5%
Advanced Micro Devices Inc. (b) (l) 7 159
Broadcom Corp. (b) 8 245
Intel Corp. 18 429
International Rectifier Corp. (b) 6 267
Marvell Technology Group Ltd. (b) 7 254
1,354
Software - 12.2%
Adobe Systems Inc. 4 252
Autodesk Inc. 4 133
Computer Associates International Inc. (l) 12 357
Mercury Interactive Corp. (b) (l) 7 323
Microsoft Corp. 44 1,173
Navteq Corp. (b) 3 125
Novell Inc. (b) 17 115
Red Hat Inc. (b) (l) 10 131
SAP AG - ADR 9 385
2,994
Telecommunications - 2.3%
Amdocs Ltd. (b) 10 257
Sprint Corp. - FON Group (l) 13 311
568
Telecommunications Equipment - 4.6%
Cisco Systems Inc. (b) 38 737
Comverse Technology Inc. (b) 3 66
Corning Inc. (b) 28 331
1,134
Transportation - 1.6%
Expeditors International of Washington Inc. (l) 3 179
United Parcel Service Inc. 3 222
401
Wireless Telecommunications - 2.9%
LM Ericsson Telephone Co. (b) 8 262
Motorola Inc. 14 246
Nokia Oyj - ADR 13 197
705
Total Common Stocks (cost $22,441) 24,366
Short Term Investments - 10.8%
Money Market Funds - 0.6%
Dreyfus Cash Management Plus, 1.98% (a) 147 147
Securities Lending Collateral - 10.2%
Mellon GSL Delaware Business Trust Collateral Fund 2,494 2,494
Total Short Term Investments (cost $2,641) 2,641
Total Investments - 110.3% (cost $25,082) 27,007
Other Assets and Liabilities, Net - (10.3%) (2,527)
Total Net Assets - 100% $ 24,480
JNL/PIMCO TOTAL RETURN BOND FUND
Percentage of Total
Industry Sector Investments (o)
Government 44.2%
Mortgage Securities 25.3%
Financial 21.8%
Asset Backed Securities 6.3%
Money Market Investment 0.7%
Utilities 0.7%
Energy 0.5%
Communications 0.3%
Consumer, Cyclical 0.2%
100.0%
Preferred Stocks - 1.0%
Banks - 0.5%
DG Funding Trust, 4.80% (e) - $ 2,129
Sovereign - 0.5%
Fannie Mae, 7.00% (b) 29 1,627
Total Preferred Stocks (cost $3,532) 3,756
Options - 0.0%
Eurodollar Future Put Option, Expiration
March 2005, Strike price $94.75 EUR 1 4
U.S. 20-Year Call Option, Expiration
February 2005, Strike price $115.00 - 5
U.S. 20-Year Call Option, Expiration
February 2005, Strike price $116.00 - 1
Total Options (cost $18) 10
Corporate Bonds - 25.2%
Asset Backed Securities - 11.3%
Ameriquest Mortgage Securities Inc.,
2.69%, 08/25/32 (g) $68 68
Amortizing Residential Collateral Trust
2.71%, 07/25/32 (g) 123 123
2.74%, 07/25/32 145 145
Bank of America Mortgage Securities
6.50%, 10/25/31 574 580
6.50%, 09/25/33 206 210
Bear Stearns Adjustable Rate Mortgage Trust
3.86%, 11/25/30 (g) 20 20
5.26%, 10/25/32 (g) 32 32
5.64%, 12/30/32 (g) 103 103
5.35%, 01/25/33 (g) 230 233
5.11%, 04/25/33 461 462
4.78%, 01/25/34 (g) 1,234 1,224
CDC Mortgage Capital Trust, 2.71%, 01/25/33 (g) 103 103
Centex Home Equity, 2.52%, 03/25/34 986 986
Countrywide Asset-Backed Certificates
2.57%, 12/25/22 2,502 2,502
2.65%, 06/25/31 (g) 5 5
Countrywide Home Loan Mortgage Pass Through Trust,
2.69%, 05/25/34 1,290 1,279
Credit-Based Asset Servicing and Securitization LLC
2.55%, 09/25/21 2,113 2,113
2.74%, 06/25/32 (g) 71 71
CS First Boston Mortgage Securities Corp.
3.07%, 11/25/31 (g) 2 2
2.8175%, 02/25/32 (g) 15 15
Equity One ABS Inc.
2.70%, 11/25/32 (g) 278 278
2.53%, 07/25/34 (g) 2,305 2,305
First Nationwide Trust, 3.02%, 09/25/31 (g) 5 5
GSAMP Trust, 2.61%, 10/25/33 1,859 1,859
HFC Home Equity Loan Asset Backed Certificates,
2.76%, 10/20/32 883 884
Home Equity Mortgage Trust, 2.57%, 12/25/34 1,633 1,634
IMPAC CMB Trust, 2.67%, 04/25/34 925 922
Indymac ARM Trust, 6.60%, 01/25/32 (g) 6 6
Irwin Low Balance Home Equity Loan Trust,
2.80%, 06/15/30 (e) (g) 16 16
Long Beach Mortgage Loan Trust, 2.82%, 03/25/33 (g) 659 660
Mellon Residential Funding Corp.
2.90%, 10/20/29 (g) 764 771
2.6425%, 06/15/30 1,577 1,572
Merrill Lynch Collateralized Loan Obligation,
2.878%, 06/23/10 (g) 391 387
Mid-State Trust, 8.33%, 04/01/30 (g) 29 31
Morgan Stanley Capital I
6.59%, 10/03/30 23 23
2.55%, 03/25/34 (g) 1,413 1,413
Nelnet Student Loan Trust, 2.02%, 04/25/11 1,200 1,199
Park Place Securities Inc., 2.62%, 10/25/34 1,538 1,538
Prime Mortgage Trust
2.82%, 02/25/19 106 106
2.82%, 02/25/34 417 418
Residential Asset Mortgage Products Inc.,
2.67%, 02/25/34 2,426 2,421
Sears Credit Account Master Trust
2.53%, 08/18/09 4,000 4,003
2.7825%, 11/17/09 3,700 3,703
Sequoia Mortgage Trust, 2.76%, 10/19/26 (g) 552 551
Small Business Administration Participation Certificates
6.29%, 01/01/21 72 78
5.13%, 09/01/23 95 98
5.52%, 06/01/24 1,867 1,943
Structured Asset Mortgage Investments Inc.,
2.74%, 09/19/32 (g) 712 712
Structured Asset Securities Corp.
2.87%, 06/25/17 (g) 161 161
8.85%, 03/25/31 (g) 19 19
6.11%, 02/25/32 (g) 12 12
2.70%, 01/25/33 (g) 38 38
Torrens Trust, 2.66%, 07/15/31 (e) (g) 85 85
Vendee Mortgage Trust, 6.50%, 09/15/24 1,166 1,200
Washington Mutual, 2.99%, 08/25/42 (g) 2,314 2,334
Washington Mutual MSC Mortgage
Pass-Through Certificates, 5.385%, 02/25/31 (g) 153 157
Washington Mutual Pass-Through Certificates,
5.14%, 10/25/32 (g) 172 175
Wells Fargo Home Equity Trust, 2.58%, 06/25/19 354 355
44,348
Auto Manufacturers - 0.2%
DaimlerChrysler NA Holding Corp., 2.96%, 05/24/06 900 904
Banks - 0.3%
Banque Centrale de Tunisie, 7.50%, 08/06/09 (e) EUR 300 468
Fifth Third Bank, 7.75%, 08/15/10 500 512
980
Chemicals - 0.0%
Dow Chemical Co., 8.04%, 07/02/05 22 22
Diversified Financial Services - 2.5%
Atlas Reinsurance Plc, 4.415%, 01/07/05 (e) (g) 750 750
CS First Boston Mortgage Securities Corp.,
2.8238%, 03/25/32 (g) 443 444
Ford Motor Credit Co.
7.50%, 03/15/05 300 303
3.00%, 06/30/05 (g) 500 500
7.60%, 08/01/05 3,000 3,070
General Motors Acceptance Corp.
5.25%, 05/16/05 200 202
7.50%, 07/15/05 1,900 1,939
3.3288%, 10/20/05 2,100 2,108
UFJ Finance Aruba AEC, 6.75%, 07/15/13 300 334
9,650
Electric - 0.8%
AEP Texas Central Co, 3.54%, 02/15/05 200 200
Appalachian Power Co., 4.80%, 06/15/05 700 706
Pacific Gas & Electric Co., 3.26%, 04/03/06 2,200 2,202
3,108
Electronics - 0.0%
Parker Hannifin Employee Stock Ownership Trust,
6.34%, 07/15/08 (e) 109 113
Pipelines - 0.6%
El Paso Corp.
8.05%, 10/15/30 1,000 968
7.80%, 08/01/31 1,500 1,440
2,408
Sovereign - 9.1%
Bundesschatz, 2.00%, 06/17/05 EUR 26,000 35,323
Telecommunications - 0.0%
Sprint Capital Corp., 6.00%, 01/15/07 100 105
Wireless Telecommunications - 0.4%
Verizon Wireless Capital LLC, 2.415%, 05/23/05 (e) 1,400 1,400
Total Corporate Bonds (cost $95,588) 98,361
Government Securities - 43.7%
Sovereign - 3.1%
Mexico Government International Bond, 8.125%, 12/30/19 500 $ 587
Republic of Brazil
3.0625%, 04/15/06 (g) 48 48
11.50%, 03/12/08 200 235
3.125%, 04/15/09 138 136
8.30%, 06/29/09 (l) 100 118
11.00%, 01/11/12 680 826
3.125%, 04/15/12 1,324 1,261
8.00%, 04/15/14 724 741
Republic of Panama
9.375%, 07/23/12 200 237
9.375%, 01/16/23 200 231
8.875%, 09/30/27 200 220
Republic of Peru
9.125%, 02/21/12 600 699
9.875%, 02/06/15 600 735
Republic of South Africa, 9.125%, 05/19/09 100 119
Resolution Fund Corp. - Principal Only, 5.182%, 10/15/20 400 178
Russian Federation, 5.00%, 03/31/30 (h) 2,300 2,379
United Mexican States, Variable Recovery Rights
0.00%, 06/30/05 (g) 6,900 98
0.00%, 06/30/06 (g) 6,886 165
0.00%, 06/30/07 (g) 4,850 104
United Mexican States
8.375%, 01/14/11 200 235
6.375%, 01/16/13 250 266
8.00%, 09/24/22 800 922
8.30%, 08/15/31 1,400 1,640
12,180
U.S. Government Agencies - 25.5%
Federal Home Loan Mortgage Corp.
6.00%, 03/01/16 180 188
6.00%, 08/01/16 71 74
5.00%, 11/01/18 848 862
6.25%, 08/25/22 89 89
7.00%, 05/15/23 926 980
3.667%, 07/01/27 (g) 6 7
2.85%, 11/15/30 (g) 22 22
7.50%, 03/01/32 195 199
6.00%, 10/01/32 435 450
6.00%, 03/01/33 607 627
6.00%, 08/01/33 261 269
Federal National Mortgage Association
5.00%, TBA (c) 63,312 63,149
5.50%, TBA (c) 3,000 3,099
5.50%, 11/01/13 20 20
6.00%, 06/01/14 13 14
5.50%, 03/01/16 222 229
6.00%, 04/01/16 328 344
6.00%, 05/01/16 97 102
6.00%, 06/01/16 16 17
6.00%, 08/01/16 43 45
6.00%, 09/01/16 45 47
6.00%, 11/01/16 198 207
5.50%, 12/01/16 507 525
5.50%, 01/01/17 1,592 1,648
6.00%, 02/01/17 43 45
5.50%, 03/01/17 164 170
6.00%, 03/01/17 234 246
6.00%, 04/01/17 165 172
6.00%, 05/01/17 50 52
5.50%, 10/01/17 127 132
6.00%, 10/01/17 158 166
5.50%, 11/01/17 417 432
5.00%, 05/01/18 24 25
5.00%, 08/01/18 2,420 2,460
5.00%, 10/01/18 707 719
6.00%, 03/01/33 96 99
5.00%, 04/25/33 2,018 2,005
5.50%, 11/01/33 921 936
5.50%, 02/01/34 1,718 1,745
5.50%, 03/01/34 856 870
6.50%, 11/01/34 500 525
5.50%, 01/13/35 11,000 11,165
3.00%, 09/01/40 (g) 90 92
6.50%, 12/25/42 259 270
2.77%, 03/25/44 2,413 2,413
FHA St. Regis Nursing Home, 7.449%, 08/01/10 45 48
Government National Mortgage Association II
3.375%, 05/20/26 (g) 228 232
3.375%, 02/20/27 (g) 24 24
3.375%, 04/20/30 (g) 59 60
3.375%, 05/20/30 (g) (l) 49 50
2.75%, 02/20/32 (g) 573 577
3.00%, 02/20/32 (g) 345 349
99,292
U.S. Treasury Securities - 15.1%
U.S. Treasury Bond, 8.875%, 02/15/19 (l) 400 575
U.S. Treasury Inflation Indexed Note, 2.00%, 07/15/14 (l)5,265 5,432
U.S. Treasury Note
3.50%, TBA (c) 300 299
4.25%, TBA (c) 6,400 6,417
2.50%, 09/30/06 (l) 1,300 1,289
3.375%, 01/15/07 (m) 120 128
3.625%, 01/15/08 (l) 5,316 5,791
3.875%, 01/15/09 (l) 5,470 6,131
4.25%, 01/15/10 (l) 7,828 9,080
0.875%, 04/15/10 (l) 7,859 7,782
3.375%, 01/15/12 (l) 5,482 6,240
3.00%, 07/15/12 (l) 8,386 9,358
1.875%, 07/15/13 (l) 416 428
58,950
Total Government Securities (cost $169,074) 170,422
Municipals - 1.7%
County of Harris Texas, 5.00%, 10/01/11 700 773
Energy Northwest Washington Electrical, 5.50%, 07/01/14 100 114
New York State Dormitory Authority, 5.25%, 07/01/11 700 774
State of Illinois, 5.00%, 03/01/34 200 204
State of Wisconsin, 5.00%, 05/01/12 400 442
Sussex County Municipal Utilities Authority,
5.00%, 12/01/12 1,200 1,333
Tobaco Settlement Financing Corp.
6.125%, 06/01/24 500 498
6.75%, 06/01/39 2,400 2,400
Total Municipals (cost $6,432) 6,538
Short Term Investments - 58.0%
Certificates of Deposit - 1.1%
Citibank Certificate of Deposit, 2.03%, 01/24/05 (f) 4,300 4,300
Commercial Paper - 21.1%
ANZ National
2.05%, 01/28/05 1,000 998
2.02%, 02/02/05 (f) 7,400 7,387
Bank of Ireland, 2.505%, 04/21/05 (f) 5,100 5,061
Barclays US Funding, 2.375%, 03/08/05 (f) 10,500 10,454
Dexia Delaware Inc., 2.04%, 01/25/05 (f) 10,700 10,685
Fortis Funding LLC, 1.93%, 01/25/05 2,500 2,497
General Electric Capital Corp.
2.04%, 02/04/05 200 200
2.23%, 02/23/05 100 100
2.32%, 02/24/05 (f) 5,800 5,780
2.34%, 03/01/05 1,000 996
2.42%, 03/14/05 4,400 4,379
HBOS Treasury Services Plc, 2.435%, 03/22/05 (f) 10,500 10,443
Royal Bank of Scotland, 2.41%, 03/15/05 1,600 1,592
Toyota Motor Credit Corp., 2.36%, 03/07/05 (f) 10,500 10,455
UBS Finance LLC
1.93%, 01/24/05 100 100
2.07%, 02/28/05 400 399
2.30%, 02/28/05 7,500 7,472
2.41%, 03/15/05 3,000 2,985
81,983
Money Market Funds - 0.8%
Dreyfus Cash Management Plus, 1.98% (a) 3,156 3,156
Securities Lending Collateral - 13.1%
Mellon GSL Delaware Business Trust Collateral Fund 51,246 51,246
U.S. Government Agencies - 21.4%
Federal Home Loan Bank Discount Note
2.12%, 02/04/05 (f) $10,100 10,080
2.29%, 03/02/05 3,800 3,785
Federal Home Loan Mortgage Corp. Discount Note
1.985%, 01/25/05 200 200
2.05%, 01/26/05 20,400 20,370
2.20%, 01/28/05 (f) 7,400 7,388
2.15%, 02/08/05 3,700 3,692
2.18%, 02/09/05 17,000 16,960
2.255%, 02/22/05 (f) 10,200 10,167
2.28%, 02/23/05 100 100
2.2825%, 02/23/05 300 299
2.295%, 03/01/05 1,700 1,694
2.30%, 03/01/05 3,800 3,786
2.32%, 03/08/05 600 597
2.36%, 03/09/05 200 199
2.26%, 03/14/05 3,700 3,683
2.42%, 03/16/05 200 198
2.39%, 04/15/05 500 496
83,694
U.S. Treasury Bills - 0.5%
U.S. Treasury Bill
2.18%, 03/03/05 (m) 570 568
2.21%, 03/17/05 (m) 1,580 1,573
2,141
Total Short Term Investments (cost $226,520) 226,520
Total Investments - 129.6% (cost $501,164) 505,607
Other Assets and Liabilities, Net - (29.6%) (115,453)
Total Net Assets - 100% $ 390,154
JNL/PUTNAM EQUITY FUND
Percentage of Total
Industry Sector Investments (o)
Financial 31.3%
Consumer, Non-cyclical 21.2%
Consumer, Cyclical 13.0%
Technology 12.7%
Energy 7.2%
Industrial 6.5%
Communications 5.9%
Basic Materials 1.0%
Diversified 1.0%
Money Market Investment 0.1%
Utilities 0.1%
100.0%
Common Stocks - 99.7%
Advertising - 0.6%
Omnicom Group Inc. 11 $ 919
Aerospace & Defense - 2.8%
Boeing Co. 29 1,475
Lockheed Martin Corp. 34 1,861
United Technologies Corp. 9 909
4,245
Airlines - 0.5%
Southwest Airlines Co. 43 701
Banks - 4.2%
Commerce Bancorp. Inc. (l) 50 3,233
Investors Financial Services Corp. 10 490
North Fork Bancorp. Inc. 1 42
US Bancorp. 81 2,524
6,289
Beverages - 0.0%
Anheuser-Busch Cos. Inc. 1 28
Coca-Cola Co. 1 44
72
Biotechnology - 1.7%
Amgen Inc. (b) 32 2,021
Biogen Idec Inc. (b) - 17
Charles River Laboratories International Inc. (b) 9 400
Genzyme Corp. (b) - 17
2,455
Building Materials - 0.7%
Masco Corp. (l) 25 910
Vulcan Materials Co. 4 202
1,112
Chemicals - 0.3%
E.I. du Pont de Nemours & Co. 1 49
PPG Industries Inc. 6 436
485
Commercial Services - 2.4%
Alliance Data Systems Corp. (b) 17 812
Apollo Group Inc. (b) 21 1,687
Aramark Corp. 1 32
Career Education Corp. (b) 8 300
Cendant Corp. 31 720
Iron Mountain Inc. (b) 1 29
3,580
Computers - 4.0%
Affiliated Computer Services Inc. - Class A (b) - 12
Apple Computer Inc. (b) 11 702
Dell Inc. (b) 22 927
EMC Corp. (b) 35 519
Hewlett-Packard Co. 68 1,432
International Business Machines Corp. 5 483
Lexmark International Inc. (b) 5 417
Network Appliance Inc. (b) 6 199
Sandisk Corp. (b) 24 610
Sun Microsystems Inc. (b) 129 693
5,994
Cosmetics & Personal Care - 0.7%
Alberto-Culver Co. - Class B 1 29
Avon Products Inc. 24 921
Colgate-Palmolive Co. 1 31
981
Distribution & Wholesale - 0.2%
Ingram Micro Inc. - Class A (b) 13 260
Diversified Financial Services - 16.5%
Bear Stearns Cos. Inc. 9 962
Capital One Financial Corp. (l) 37 3,137
Citigroup Inc. 125 6,023
Countrywide Financial Corp. 78 2,868
Fannie Mae 54 3,831
Freddie Mac 30 2,189
Goldman Sachs Group Inc. 8 832
Lehman Brothers Holdings Inc. 31 2,668
MBNA Corp. 26 735
Providian Financial Corp. (b) 92 1,520
24,765
Electric - 0.1%
Edison International 1 42
Entergy Corp. - 34
PG&E Corp. (b) 1 44
Sierra Pacific Resources (b) (l) 2 17
137
Electronics - 0.3%
Amphenol Corp. (b) 13 467
Jabil Circuit Inc. (b) 1 15
482
Food - 0.2%
Supervalu Inc. 10 359
Healthcare - 4.2%
Baxter International Inc. 1 30
Community Health Systems Inc. (b) 1 14
Coventry Health Care Inc. (b) - 16
Dade Behring Holdings Inc. (b) 6 330
Guidant Corp. - 14
HCA Inc. 3 120
Johnson & Johnson 82 5,188
Laboratory Corp. of America Holdings (b) 7 339
Medtronic Inc. 4 214
Quest Diagnostics Inc. - 19
WellPoint Inc. (b) - 12
6,296
Home Builders - 1.8%
Lennar Corp. (l) 23 1,309
NVR Inc. (b) (l) 2 1,317
Pulte Homes Inc. 1 32
2,658
Home Furnishings - 0.5%
Whirlpool Corp. (l) 11 782
Insurance - 9.4%
ACE Ltd. 72 3,057
American International Group Inc. 53 3,474
Chubb Corp. 7 515
Cigna Corp. 9 742
Everest Re Group Ltd. 28 2,544
Hartford Financial Services Group Inc. 20 1,393
PMI Group Inc. 25 1,035
St. Paul Cos. Inc. 29 1,064
Willis Group Holdings Ltd. 8 313
14,137
Internet - 1.1%
eBay Inc. (b) - 35
IAC/InterActiveCorp (b) (l) 28 779
Yahoo! Inc. (b) 23 863
1,677
Investment Companies - 1.0%
SPDR Trust Series 1 (l) 12 1,500
Leisure Time - 1.8%
Harley-Davidson Inc. 30 1,835
Royal Caribbean Cruises Ltd. (l) 15 800
2,635
Lodging - 0.4%
Harrah's Entertainment Inc. (l) 7 435
Las Vegas Sands Corp. (b) 2 100
Station Casinos Inc. (l) - 16
551
Manufacturing - 2.6%
3M Co. - 24
Dover Corp. - 16
Eastman Kodak Co. (l) 25 790
ITT Industries Inc. - 34
Tyco International Ltd. 83 2,984
3,848
Media - 0.7%
Comcast Corp. - Special Class A (b) 2 52
Time Warner Inc. (b) 2 47
Walt Disney Co. 36 998
1,097
Mining - 0.7%
Aggregate Industries Plc 181 363
BHP Billiton Plc 52 656
1,019
Office & Business Equipment - 0.8%
Xerox Corp. (b) (l) 67 1,135
Oil & Gas Producers - 7.1%
Amerada Hess Corp. (l) 19 1,541
Apache Corp. 1 29
Canadian Natural Resources Ltd. 21 919
ChevronTexaco Corp. 18 929
Devon Energy Corp. 2 70
Exxon Mobil Corp. 119 6,119
GlobalSantaFe Corp. 2 63
Marathon Oil Corp. 11 425
Noble Corp. (b) 12 602
10,697
Packaging & Containers - 0.0%
Sealed Air Corp. (b) 1 32
Pharmaceuticals - 8.5%
Abbott Laboratories 1 31
AmerisourceBergen Corp. (l) 5 288
Bristol-Myers Squibb Co. 32 830
Cardinal Health Inc. 48 2,768
Eli Lilly & Co. - 11
Express Scripts Inc. - Class A (b) 17 1,277
Medco Health Solutions Inc. (b) 1 21
Merck & Co. Inc. 56 1,790
Pfizer Inc. 182 4,890
Teva Pharmaceutical Industries Ltd. - ADR 25 751
12,657
Real Estate - 0.7%
General Growth Properties Inc. 27 987
Retail - 7.7%
Autozone Inc. (b) 9 811
Bed Bath & Beyond Inc. (b) 7 287
Best Buy Co. Inc. 16 945
Family Dollar Stores Inc. 1 16
Gap Inc. 28 581
Home Depot Inc. 38 1,624
Kohl's Corp. (b) 1 30
Lowe's Cos. Inc. 43 2,468
McDonald's Corp. 69 2,206
Office Depot Inc. (b) 42 724
Ross Stores Inc. 18 508
Staples Inc. 36 1,225
Starbucks Corp. (b) 1 37
11,462
Savings & Loans - 0.4%
Washington Mutual Inc. 15 643
Semiconductors - 1.3%
Analog Devices Inc. 9 336
Freescale Semiconductor Inc. (b) 1 17
Intel Corp. 67 1,574
Maxim Integrated Products Inc. - 13
1,940
Software - 6.6%
Adobe Systems Inc. 14 866
Automatic Data Processing Inc. - 13
BMC Software Inc. (b) 28 529
Citrix Systems Inc. (b) (l) 36 883
Computer Associates International Inc. 2 47
Fair Isaac Corp. 22 792
Fiserv Inc. (b) - 16
Microsoft Corp. 251 6,702
Oracle Corp. (b) 3 44
Siebel Systems Inc. (b) 3 29
9,921
Telecommunications - 0.1%
BellSouth Corp. 1 31
SBC Communications Inc. 1 29
Sprint Corp. - FON Group 1 35
Verizon Communications Inc. 1 42
137
Telecommunications Equipment - 3.3%
Cisco Systems Inc. (b) 229 4,418
Scientific-Atlanta Inc. 14 472
4,890
Tobacco - 3.6%
Altria Group Inc. 79 4,824
UST Inc. 11 505
5,329
Toys & Hobbies - 0.2%
Hasbro Inc. 19 359
Wireless Telecommunications - 0.0%
Motorola Inc. 2 28
Nextel Communications Inc. (b) 1 30
58
Total Common Stocks (cost $129,917) 149,283
Warrants - 0.0%
Telecommunications Equipment - 0.0%
Lucent Technologies Inc., Strike Price $2.75, Expiring 12/10/07 1 1
Total Warrants (cost $0) 1
Short Term Investments - 9.1%
Money Market Funds - 0.2%
Dreyfus Cash Management Plus, 1.98% (a) 193 193
Securities Lending Collateral - 8.9%
Mellon GSL Delaware Business Trust Collateral Fund 13,341 13,341
Total Short Term Investments (cost $13,534) 13,534
Total Investments - 108.8% (cost $143,451) 162,818
Other Assets and Liabilities, Net - (8.8%) (13,138)
Total Net Assets - 100% $ 149,680
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Percentage of Total
Industry Sector Investments (o)
Financial 27.2%
Consumer, Non-cyclical 16.0%
Communications 16.0%
Industrial 10.4%
Consumer, Cyclical 10.1%
Energy 7.7%
Basic Materials 4.3%
Technology 3.4%
Utilities 3.3%
Diversified 1.6%
100.0%
Common Stocks - 96.3%
Advertising - 0.9%
WPP Group Plc 73 $ 806
Airlines - 0.6%
Singapore Airlines Ltd. 81 566
Auto Manufacturers - 5.7%
Bayerische Motoren Werke AG 8 343
Honda Motor Co. Ltd. 18 912
Hyundai Motor Co. Ltd. - GDR (e) 21 541
Renault SA 8 695
Toyota Motor Corp. 71 2,881
5,372
Banks - 17.6%
Allied Irish Banks Plc 23 478
Australia & New Zealand Banking Group Ltd. 7 107
Banco Bilbao Vizcaya Argentaria SA 3 48
Banco Itau Holding Financeira SA - ADR (l) 4 279
Bank of Ireland 36 594
Barclays Plc 169 1,904
BNP Paribas SA 16 1,134
Credit Agricole SA 35 1,050
Credit Suisse Group (b) 33 1,408
Danske Bank A/S 27 822
DBS Group Holdings Ltd. 91 898
HSBC Holdings Plc 3 55
Mitsubishi Tokyo Financial Group Inc. - 1,157
Mizuho Financial Group Inc. - 423
National Bank of Greece (b) 7 227
National Bank of Greece SA 10 340
Nordea AB 16 156
OTP Bank Rt 3 104
Oversea-Chinese Banking Corp. Ltd. 59 488
Powszechna Kasa Oszczednosci Bank Polski SA (b) 9 85
Principal Office Fund (b) 8 330
Royal Bank of Scotland (b) 9 305
Royal Bank of Scotland Group Plc 62 2,097
UBS AG 20 1,659
Uniao de Bancos Brasileiros SA - GDR 2 51
UniCredito Italiano SpA 85 490
16,689
Beverages - 2.4%
Diageo Plc 116 1,649
Interbrew 14 552
Pernod-Ricard - 55
2,256
Building Materials - 0.9%
CRH Plc 31 819
Titan Cement Co. SA 2 57
876
Chemicals - 2.5%
Air Liquide SA - 45
BASF AG 17 1,219
Ciba Specialty Chemicals AG (b) 10 783
Shin-Etsu Chemical Co. Ltd. 7 287
2,334
Commercial Services - 0.9%
Dai Nippon Printing Co. Ltd. 39 626
Societe Des Autoroutes Paris-Rhin-Rhone (b) 4 230
856
Computers - 0.2%
Acer Inc. 120 199
Cosmetics & Personal Care - 0.3%
Uni-Charm Corp. 6 307
Distribution & Wholesale - 0.3%
Mitsui & Co. Ltd. 35 314
Diversified Financial Services - 4.3%
Acom Co. Ltd. 12 884
Credit Saison Co. Ltd. 18 662
Fubon Financial Holding Co. Ltd. 198 439
Nomura Holdings Inc. 84 1,225
ORIX Corp. 3 408
Sampo Oyj - Class A 6 87
Takefuji Corp. 5 341
4,046
Electric - 1.6%
E.ON AG 1 59
Iberdrola SA 51 1,288
International Power Plc (b) 19 56
Scottish & Southern Energy Plc 2 29
Scottish Power Plc 2 17
Tokyo Electric Power Co. Inc. 2 55
1,504
Electrical Components & Equipment - 2.0%
Funai Electric Co. Ltd. - 50
Hitachi Ltd. 10 69
LG Electronics Inc. (b) 6 350
Samsung Electronics Co. Ltd. 3 1,454
1,923
Electronics - 0.4%
Koninklijke Philips Electronics NV 8 211
Omron Corp. 8 200
411
Engineering & Construction - 0.7%
JGC Corp. 10 92
Linde AG 8 501
Societe Des Autoroutes Paris (b) 1 54
647
Food - 1.7%
Groupe Danone 1 55
Koninklijke Ahold NV (b) 10 75
Metro AG 1 50
Nestle SA 2 597
Royal Numico NV (b) 2 56
Tesco Plc 72 442
Woolworths Ltd. 27 315
1,590
Gas - 0.8%
Tokyo Gas Co. Ltd. 187 767
Hand & Machine Tools - 0.4%
Schneider Electric SA 1 56
SMC Corp. 3 343
399
Healthcare - 0.3%
Synthes Inc. (b) 3 293
Holding Companies - Diversified - 0.3%
LVMH Moet Hennessy Louis Vuitton SA 3 233
Swire Pacific Ltd. 6 50
283
Home Furnishings - 0.1%
Matsushita Electric Industrial Co. Ltd. 4 63
Household Products - 0.6%
Reckitt Benckiser Plc 19 572
Insurance - 3.9%
Aeon Co. Ltd. (b) 2 26
Allianz AG 5 610
ING Groep NV 5 142
QBE Insurance Group Ltd. 7 81
Swiss Reinsurance 19 1,368
XL Capital Ltd. 8 614
Zurich Financial Services AG (b) 5 898
3,739
Lodging - 0.3%
Accor SA 7 322
Manufacturing - 1.0%
Siemens AG 11 922
Media - 4.1%
Gestevision Telecinco SA (b) 2 48
ITV Plc 176 356
Lagardere S.C.A. 2 130
Mediaset SpA 78 995
News Corp Inc. (l) 6 112
Singapore Press Holdings Ltd. 76 215
Societe Television Francaise 1 12 391
Vivendi Universal SA (b) 43 1,364
VNU NV 11 322
3,933
Metal Fabrication & Hardware - 1.6%
Assa Abloy AB - Class B 31 533
SKF AB 21 949
1,482
Mining - 1.8%
Aggregate Industries Plc 179 359
BHP Billiton Plc 58 684
Rio Tinto Plc 23 682
1,725
Office & Business Equipment - 2.2%
Canon Inc. 38 2,072
Oil & Gas Producers - 7.6%
Canadian Natural Resources Ltd. 11 474
ENI-Ente Nazionale Idrocarburi SpA 55 1,387
Noble Corp. (b) 5 264
Norsk Hydro ASA 4 352
Petroleo Brasileiro SA - Petrobras - ADR 18 725
Royal Dutch Petroleum Co. - NYS 5 307
Shell Transport & Trading Co. Plc 6 55
Total Fina Elf SA 17 3,611
7,175
Oil & Gas Services - 0.1%
IHC Caland NV 2 124
Packaging & Containers - 0.3%
Amcor Ltd. 50 287
Pharmaceuticals - 7.7%
AstraZeneca Plc 32 1,146
GlaxoSmithKline Plc 26 609
Novartis AG 41 2,072
Roche Holding AG Genusschein 17 2,012
Sankyo Co. Ltd. - 9
Schwarz Pharma AG 1 27
Taisho Pharmaceutical Co. Ltd. 13 283
Takeda Chemical Industries Ltd. 2 76
Yamanouchi Pharmaceutical Co. Ltd. 27 1,055
7,289
Retail - 2.8%
Aeon Co. Ltd. 21 353
Hennes & Mauritz AB - Class B 23 796
Lawson Inc. 12 439
Swatch Group AG 12 359
Swatch Group AG - Class B 5 690
2,637
Semiconductors - 0.8%
Rohm Co. Ltd. 2 217
Taiwan Semiconductor Manufacturing Co. Ltd. 327 521
738
Software - 0.2%
Nomura Research Institute Ltd. 2 215
Telecommunications - 5.4%
China Netcom Group Corp. Ltd. (b) 235 319
China Telecom Corp. Ltd. 1,550 568
Deutsche Telekom AG (b) 4 101
Eircom Group Plc 58 135
France Telecom SA 17 553
France Telecom SA (b) 19 613
Hellenic Telecommunications Organization SA 3 56
KDDI Corp. - 215
Royal KPN NV 8 78
Tele Norte Leste Participacoes SA 3 56
Telecom Corp. 17 77
Telecom Italia SpA 277 1,135
Telefonica SA 3 57
Telefonos de Mexico SA de CV - ADR 17 645
Telekom Austria (b) 9 175
Telekom Austria AG 19 364
5,147
Tobacco - 2.1%
Altadis SA 22 1,023
Japan Tobacco Inc. - 971
1,994
Transportation - 2.5%
Canadian National Railway Co. 8 514
East Japan Railway Co. - 923
TPG NV 36 977
2,414
Water - 0.9%
Veolia Environnement 24 865
Wireless Telecommunications - 5.5%
Nokia Oyj 3 48
NTT DoCoMo Inc. - 232
SK Telecom Co. Ltd. - ADR (l) 2 42
Telefonaktiebolaget LM Ericsson (b) 272 866
Vodafone Group Plc 1,504 4,079
5,267
Total Common Stocks (cost $73,174) 91,420
Preferred Stocks - 0.3%
Auto Manufacturers - 0.3%
Porsche AG (b) - 249
Holding Companies - Diversified - 0.0%
Singapore Press Holdings Ltd. (b) 13 37
Total Preferred Stocks (cost $284) 286
Mutual Funds - 1.3%
iShares MSCI EAFE Index Fund 8 1,216
Total Mutual Funds (cost $1,169) 1,216
Warrants - 0.5%
Manufacturing - 0.5%
Reliance Industries Warrant, No Strike Price,
Expiring 09/30/05 41 499
Total Warrants (cost $418) 499
Short Term Investments - 8.0%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.98% (a) 1 1
Repurchase Agreement - 1.2%
Repurchase Agreement with Goldman Sachs and Co.,
2.25%, (Collateralized by $1,200 Federal Home Loan
Discount Note, 4.50%, due 01/21/05, market value $1,198)
acquired on 12/31/04, due 01/03/05 at $1,171 $1,171 1,171
Securities Lending Collateral - 6.8%
Mellon GSL Delaware Business Trust Collateral Fund 6,434 6,434
Total Short Term Investments (cost $7,606) 7,606
Total Investments - 106.4% (cost $82,651) 101,027
Other Assets and Liabilities, Net - (6.4%) (6,028)
Total Net Assets - 100% $ 94,999
JNL/PUTNAM MIDCAP GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 25.9%
Technology 22.4%
Consumer, Cyclical 17.3%
Industrial 11.8%
Financial 8.3%
Communications 6.1%
Energy 4.7%
Diversified 1.5%
Basic Materials 1.4%
Money Market Investment 0.6%
100.0%
Common Stocks - 99.5%
Advertising - 1.1%
Getty Images Inc. (b) (l) 5 $ 365
Aerospace & Defense - 1.4%
United Defense Industries Inc. (b) 10 487
Apparel - 1.4%
Coach Inc. (b) 9 496
Auto Parts & Equipment - 1.4%
Autoliv Inc. 10 488
Banks - 0.6%
Commerce Bancorp. Inc. (l) 3 200
Biotechnology - 2.6%
Biogen Idec Inc. (b) (l) 3 193
Charles River Laboratories International Inc. (b) 9 428
Genzyme Corp. (b) 5 273
894
Building Materials - 1.1%
Vulcan Materials Co. 7 388
Chemicals - 0.8%
Georgia Gulf Corp. 5 254
Commercial Services - 4.2%
Alliance Data Systems Corp. (b) 2 114
Apollo Group Inc. (b) 4 355
Corporate Executive Board Co. 4 288
Equifax Inc. 7 194
Moody's Corp. 4 356
Strayer Education Inc. 1 121
1,428
Computers - 6.2%
Lexmark International Inc. (b) 4 340
Logitech International SA (b) (l) 2 140
Network Appliance Inc. (b) (l) 16 541
Sandisk Corp. (b) 23 562
Storage Technology Corp. (b) 16 503
2,086
Cosmetics & Personal Care - 0.8%
Alberto-Culver Co. - Class B 6 284
Distribution & Wholesale - 0.5%
Hughes Supply Inc. 3 100
Ingram Micro Inc. - Class A (b) 3 69
169
Diversified Financial Services - 6.0%
Bear Stearns Cos. Inc. 5 501
Capital One Financial Corp. (l) 6 488
Chicago Mercantile Exchange Holding Inc. 1 160
Doral Financial Corp. 5 266
Nelnet Inc. (b) 11 288
Providian Financial Corp. (b) 21 343
2,046
Electrical Components & Equipment - 0.9%
Ametek Inc. 5 178
Energizer Holdings Inc. (b) 3 129
307
Electronics - 0.4%
Amphenol Corp. (b) 4 136
Forest Products & Paper - 0.6%
Louisiana-Pacific Corp. 8 203
Hand & Machine Tools - 0.8%
Black & Decker Corp. 3 291
Healthcare - 12.1%
Advanced Medical Optics Inc. (b) (l) - -
Biomet Inc. 7 320
C.R. Bard Inc. 7 461
Coventry Health Care Inc. (b) 5 244
Dade Behring Holdings Inc. (b) 4 241
Edwards Lifesciences Corp. (b) 7 297
Gen-Probe Inc. (b) 6 292
Idexx Laboratories Inc. (b) 4 202
Inamed Corp. (b) - 13
Laboratory Corp. of America Holdings (b) 9 468
Pacificare Health Systems Inc. (b) 8 424
Respironics Inc. (b) 4 223
Varian Medical Systems Inc. (b) 8 342
WellPoint Inc. (b) 5 552
4,079
Home Builders - 1.4%
NVR Inc. (b) (l) 1 462
Home Furnishings - 1.7%
Harman International Industries Inc. 2 292
Whirlpool Corp. 4 291
583
Household Products - 3.4%
Fossil Inc. (b) 3 87
Scotts Co. - Class A (b) 3 199
Toro Co. 6 496
Yankee Candle Co. Inc. (b) 11 352
1,134
Insurance - 1.7%
Everest Re Group Ltd. 2 215
W.R. Berkley Corp. 8 361
576
Internet - 1.2%
McAfee Inc. (b) 3 89
Symantec Corp. (b) 7 185
VeriSign Inc. (b) 4 143
417
Investment Companies - 1.5%
Midcap SPDR Trust Series 1 (l) 4 509
Leisure Time - 1.0%
Harley-Davidson Inc. (l) 5 322
Lodging - 0.5%
Harrah's Entertainment Inc. 2 161
Machinery - 3.6%
Graco Inc. 6 220
IDEX Corp. (l) 6 243
Terex Corp. (b) 13 629
Zebra Technologies Corp. (b) 2 110
1,202
Manufacturing - 0.6%
ITT Industries Inc. 3 211
Media - 0.7%
XM Satellite Radio Holdings Inc. - Class A (b) (l) 6 226
Oil & Gas Producers - 3.7%
Amerada Hess Corp. 5 395
Burlington Resources Inc. 4 191
EOG Resources Inc. 2 114
Newfield Exploration Co. (b) 5 266
Pogo Producing Co. 3 155
Sunoco Inc. (l) 2 123
1,244
Oil & Gas Services - 1.0%
BJ Services Co. 8 349
Packaging & Containers - 1.2%
Ball Corp. 10 422
Pharmaceuticals - 3.5%
Barr Laboratories Inc. (b) 6 287
Cephalon Inc. (b) 7 351
Endo Pharmaceuticals Holdings Inc. (b) 4 86
Eon Labs Inc. (b) 1 37
Medicis Pharmaceutical Corp. - Class A (l) 12 407
1,168
Retail - 7.5%
Abercrombie & Fitch Co. - Class A 3 150
Aeropostale Inc. (b) 10 304
American Eagle Outfitters Inc. 4 193
Claire's Stores Inc. 25 536
Darden Restaurants Inc. 8 216
Michaels Stores Inc. (l) 8 225
Petco Animal Supplies Inc. (b) 2 91
Staples Inc. 15 489
Starbucks Corp. (b) 5 337
2,541
Semiconductors - 4.7%
ATI Technologies Inc. (b) 11 211
Lam Research Corp. (b) 7 211
Linear Technology Corp. 23 876
Sigmatel Inc. (b) 9 306
1,604
Software - 11.5%
Acxiom Corp. 8 207
Adobe Systems Inc. 12 753
Autodesk Inc. 5 197
BMC Software Inc. (b) 33 621
Citrix Systems Inc. (b) (l) 29 699
Fair Isaac Corp. 13 473
Navteq Corp. (b) 4 196
Siebel Systems Inc. (b) 11 120
Take-Two Interactive Software Inc. (b) (l) 4 125
Veritas Software Corp. (b) 18 500
3,891
Telecommunications - 0.3%
West Corp. (b) 3 93
Telecommunications Equipment - 2.9%
Harris Corp. 7 451
Scientific-Atlanta Inc. 7 241
Tellabs Inc. (b) 32 274
966
Tobacco - 0.8%
UST Inc. 6 269
Toys & Hobbies - 0.5%
Marvel Enterprises Inc. (b) 8 154
Transportation - 1.7%
CNF Inc. 8 401
Overseas Shipholding Group Inc. 3 160
561
Total Common Stocks (cost $28,138) 33,666
Short Term Investments - 13.4%
Money Market Funds - 0.6%
Dreyfus Cash Management Plus, 1.98% (a) 192 192
Securities Lending Collateral - 12.8%
Mellon GSL Delaware Business Trust Collateral Fund 4,345 4,345
Total Short Term Investments (cost $4,537) 4,537
Total Investments - 112.9% (cost $32,675) 38,203
Other Assets and Liabilities, Net - (12.9%) (4,373)
Total Net Assets - 100% $ 33,830
JNL/PUTNAM VALUE EQUITY FUND
Percentage of Total
Industry Sector Investments (o)
Financial 27.0%
Consumer, Non-cyclical 20.3%
Technology 12.0%
Industrial 11.6%
Energy 9.0%
Communications 7.2%
Consumer, Cyclical 7.1%
Basic Materials 3.0%
Utilities 2.8%
100.0%
Common Stocks - 99.0%
Aerospace & Defense - 2.0%
Boeing Co. 33 $ 1,724
Lockheed Martin Corp. 48 2,655
4,379
Apparel - 0.1%
Liz Claiborne Inc. 6 266
Banks - 6.6%
Bank of America Corp. 116 5,465
State Street Corp. 32 1,572
US Bancorp. 66 2,064
Wachovia Corp. 59 3,119
Wells Fargo & Co. 32 1,976
14,196
Beverages - 1.3%
Coca-Cola Co. 48 2,002
PepsiCo Inc. 15 773
2,775
Biotechnology - 0.4%
Amgen Inc. (b) 13 860
Building Materials - 1.1%
Masco Corp. 42 1,523
Vulcan Materials Co. 16 852
2,375
Chemicals - 2.0%
Dow Chemical Co. 39 1,906
PPG Industries Inc. 27 1,820
Rohm & Haas Co. 15 668
4,394
Commercial Services - 1.0%
Aramark Corp. 24 647
Cendant Corp. 62 1,450
2,097
Computers - 4.9%
Dell Inc. (b) 14 607
Hewlett-Packard Co. 245 5,142
International Business Machines Corp. 49 4,860
10,609
Cosmetics & Personal Care - 2.3%
Colgate-Palmolive Co. 21 1,079
Estee Lauder Cos. Inc. 29 1,324
Procter & Gamble Co. 48 2,627
5,030
Diversified Financial Services - 13.7%
Citigroup Inc. 168 8,109
Countrywide Financial Corp. 20 744
Fannie Mae 78 5,576
Freddie Mac 55 4,061
JPMorgan Chase & Co. 128 5,005
Lehman Brothers Holdings Inc. 22 1,890
MBNA Corp. 34 970
Merrill Lynch & Co. Inc. 29 1,751
Morgan Stanley 12 661
Providian Financial Corp. (b) 47 776
29,543
Electric - 2.8%
Alliant Energy Corp. 30 863
Edison International 35 1,115
Exelon Corp. 15 670
MDU Resources Group Inc. 32 848
PG&E Corp. (b) 55 1,834
PPL Corp. 15 789
6,119
Electrical Components & Equipment - 0.6%
Emerson Electric Co. 17 1,213
Food - 1.0%
General Mills Inc. 23 1,149
H.J. Heinz Co. 23 889
Tyson Foods Inc. 1 20
2,058
Forest Products & Paper - 0.3%
Weyerhaeuser Co. 10 672
Gas - 0.0%
Sempra Energy - 11
Healthcare - 4.0%
Johnson & Johnson 83 5,263
Laboratory Corp. of America Holdings (b) (l) 19 932
Medtronic Inc. 31 1,545
Quest Diagnostics Inc. 9 898
8,638
Home Furnishings - 1.2%
Whirlpool Corp. (l) 37 2,547
Insurance - 5.7%
ACE Ltd. 51 2,193
Allstate Corp. 29 1,495
Berkshire Hathaway Inc. - Class B (b) - 646
Chubb Corp. 10 792
Hartford Financial Services Group Inc. 22 1,525
Lincoln National Corp. 18 859
MetLife Inc. 29 1,191
St. Paul Cos. Inc. 44 1,617
W.R. Berkley Corp. 1 28
XL Capital Ltd. 25 1,949
12,295
Leisure Time - 0.4%
Brunswick Corp. 15 752
Manufacturing - 6.9%
General Electric Capital Corp. 210 7,650
Ingersoll-Rand Co. - Class A 32 2,578
Parker Hannifin Corp. 9 674
Tyco International Ltd. (l) 114 4,060
14,962
Media - 2.3%
EchoStar Communications Corp. 21 681
Time Warner Inc. (b) 58 1,118
Viacom Inc. - Class B 44 1,583
Walt Disney Co. 58 1,615
4,997
Mining - 0.7%
Alcoa Inc. 47 1,464
Office & Business Equipment - 1.2%
Xerox Corp. (b) (l) 155 2,643
Oil & Gas Producers - 9.0%
Amerada Hess Corp. 11 931
ChevronTexaco Corp. 108 5,687
Exxon Mobil Corp. 207 10,590
Marathon Oil Corp. 59 2,215
19,423
Pharmaceuticals - 6.6%
Abbott Laboratories 80 3,746
AmerisourceBergen Corp. 30 1,743
Bristol-Myers Squibb Co. 2 38
Express Scripts Inc. - Class A (b) (l) 23 1,720
Pfizer Inc. 263 7,064
14,311
Retail - 4.9%
Foot Locker Inc. 8 214
Home Depot Inc. 45 1,932
Lowe's Cos. Inc. 8 484
McDonald's Corp. 76 2,443
Office Depot Inc. (b) 139 2,410
Rite Aid Corp. (b) 501 1,832
Wal-Mart Stores Inc. 22 1,173
10,488
Semiconductors - 2.2%
Freescale Semiconductor Inc. (b) 19 356
Intel Corp. 187 4,367
4,723
Software - 3.7%
Automatic Data Processing Inc. 28 1,224
BMC Software Inc. (b) - 7
Fiserv Inc. (b) 36 1,463
Microsoft Corp. 130 3,467
Oracle Corp. (b) 131 1,800
7,961
Telecommunications - 2.9%
SBC Communications Inc. 63 1,613
Verizon Communications Inc. 116 4,707
6,320
Telecommunications Equipment - 0.8%
Cisco Systems Inc. (b) 91 1,762
Tobacco - 3.7%
Altria Group Inc. 103 6,293
Reynolds American Inc. (l) 18 1,423
UST Inc. 6 293
8,009
Toys & Hobbies - 0.6%
Mattel Inc. 66 1,286
Transportation - 0.9%
Canadian National Railway Co. 26 1,605
Union Pacific Corp. 6 397
2,002
Wireless Telecommunications - 1.2%
Motorola Inc. 140 2,408
Total Common Stocks (cost $184,913) 213,588
Short Term Investments - 5.3%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.98% (a) 1 1
Repurchase Agreement - 0.9%
Repurchase Agreement with Goldman Sachs and Co.,
2.25%, (Collateralized by $1,900 Federal Home Loan
Discount Note, 4.50%, due 01/21/05, market value $1,898)
acquired on 12/31/04, due 01/03/05 at $1,860 $1,860 1,860
Securities Lending Collateral - 4.4%
Mellon GSL Delaware Business Trust Collateral Fund 9,506 9,506
Total Short Term Investments (cost $11,367) 11,367
Total Investments - 104.3% (cost $196,280) 224,955
Other Assets and Liabilities, Net - (4.3%) (9,339)
Total Net Assets - 100% $ 215,616
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
Mutual Funds - 100.0%
Aggressive Growth - 44.6%
JNL/AIM Large Cap Growth Fund (n) 3,667 $ 42,796
JNL/Alger Growth Fund (n) 2,761 42,793
JNL/Eagle Smallcap Equity Fund (n) 1,058 21,123
JNL/FMR Capital Growth Fund (n) 1,385 21,704
JNL/Lazard Mid Cap Value Fund (n) 1,363 19,986
JNL/Lazard Small Cap Value Fund (n) 1,984 27,405
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund (n) 3,094 27,229
JNL/Oppenheimer Global Growth Fund (n) 3,394 40,451
JNL/Select Large Cap Growth Fund (n) 804 15,840
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,425 39,727
299,054
Greater Opportunity for Stability - 5.6%
JNL/Select Money Market Fund (n) 37,488 37,488
Growth - 36.8%
JNL/Eagle Core Equity Fund (n) 5,176 77,428
JNL/Mellon Capital Management Energy Sector Fund (n) 384 7,238
JNL/Mellon Capital Management International
Index Fund (n) 2,940 40,193
JNL/Mellon Capital Management Pharmaceutical/Healthcare
Sector Fund (n) 593 6,922
JNL/Mellon Capital Management Technology
Sector Fund (n) 1,107 6,865
JNL/Select Global Growth Fund (n) 1,528 29,658
JNL/T.Rowe Price Established Growth Fund (n) 4,280 78,578
246,882
Growth & Income - 13.0%
JNL/Select Value Fund (n) 1,304 21,798
JNL/T.Rowe Price Value Fund (n) 4,808 65,578
87,376
Total Mutual Funds (cost $591,693) 670,800
Total Investments - 100.0% (cost $591,693) 670,800
Other Assets and Liabilities, Net - 0.0% (89)
Total Net Assets - 100% $ 670,711
JNL/S&P MANAGED CONSERVATIVE FUND
Mutual Funds - 99.5%
Aggressive Growth - 5.1%
JNL/AIM Large Cap Growth Fund (n) 36 $ 425
JNL/Alger Growth Fund (n) 18 285
710
Greater Opportunity for Stability - 19.6%
JNL/Select Money Market Fund (n) 2,719 2,719
Growth - 14.3%
JNL/Eagle Core Equity Fund (n) 67 997
JNL/T.Rowe Price Established Growth Fund (n) 54 999
1,996
Growth & Income - 11.3%
JNL/Select Value Fund (n) 43 710
JNL/T.Rowe Price Value Fund (n) 63 861
1,571
Income - 49.2%
JNL/PIMCO Total Return Bond Fund (n) 285 3,407
JNL/Salomon Brothers High Yield Bond Fund (n) 81 687
JNL/Salomon Brothers Strategic Bond Fund (n) 180 2,064
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (n) 60 682
6,840
Total Mutual Funds (cost $13,857) 13,836
Total Investments - 99.5% (cost $13,857) 13,836
Other Assets and Liabilities, Net - 0.5% 73
Total Net Assets - 100% $ 13,909
JNL/S&P MANAGED GROWTH FUND
Mutual Funds - 100.0%
Aggressive Growth - 40.0%
JNL/AIM Large Cap Growth Fund (n) 4,647 $ 54,230
JNL/Alger Growth Fund (n) 2,822 43,734
JNL/Eagle Smallcap Equity Fund (n) 1,394 27,831
JNL/FMR Capital Growth Fund (n) 1,410 22,101
JNL/Lazard Mid Cap Value Fund (n) 1,892 27,735
JNL/Lazard Small Cap Value Fund (n) 2,805 38,738
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund (n) 6,147 54,095
JNL/Oppenheimer Global Growth Fund (n) 4,718 56,240
JNL/Select Large Cap Growth Fund (n) 1,365 26,913
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,772 49,374
400,991
Greater Opportunity for Stability - 5.3%
JNL/Select Money Market Fund (n) 53,570 53,570
Growth - 31.8%
JNL/Eagle Core Equity Fund (n) 7,279 108,887
JNL/Mellon Capital Management International
Index Fund (n) 4,128 56,423
JNL/Mellon Capital Management S&P 500 Index Fund (n) 2,037 21,709
JNL/Select Global Growth Fund (n) 1,098 21,317
JNL/T.Rowe Price Established Growth Fund (n) 5,992 110,008
318,344
Growth & Income - 13.7%
JNL/Select Value Fund (n) 2,282 38,131
JNL/T.Rowe Price Value Fund (n) 7,244 98,802
136,933
Income - 9.2%
JNL/PIMCO Total Return Bond Fund (n) 3,801 45,466
JNL/Salomon Brothers Strategic Bond Fund (n) 4,040 46,333
91,799
Total Mutual Funds (cost $899,237) 1,001,637
Total Investments - 100.0% (cost $899,237) 1,001,637
Other Assets and Liabilities, Net - 0.0% (75)
Total Net Assets - 100% $ 1,001,562
JNL/S&P MANAGED MODERATE FUND
Mutual Funds - 97.4%
Aggressive Growth - 17.8%
JNL/AIM Large Cap Growth Fund (n) 50 $ 585
JNL/Alger Growth Fund (n) 38 591
JNL/FMR Capital Growth Fund (n) 38 600
JNL/Lazard Mid Cap Value Fund (n) 27 397
JNL/Lazard Small Cap Value Fund (n) 29 395
JNL/Oppenheimer Global Growth Fund (n) 33 399
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 21 592
3,559
Greater Opportunity for Stability - 14.3%
JNL/Select Money Market Fund (n) 2,833 2,833
Growth - 18.8%
JNL/Eagle Core Equity Fund (n) 105 1,570
JNL/Mellon Capital Management International Index Fund (n) 44 599
JNL/T.Rowe Price Established Growth Fund (n) 86 1,573
3,742
Growth & Income - 12.9%
JNL/Select Value Fund (n) 59 979
JNL/T.Rowe Price Value Fund (n) 116 1,580
2,559
Income - 33.5%
JNL/PIMCO Total Return Bond Fund (n) 238 2,841
JNL/Salomon Brothers High Yield Bond Fund (n) 112 953
JNL/Salomon Brothers Strategic Bond Fund (n) 166 1,909
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (n) 84 948
6,651
Total Mutual Funds (cost $19,247) 19,344
Total Investments - 97.3% (cost $19,247) 19,344
Other Assets and Liabilities, Net - 2.7% 529
Total Net Assets - 100% $ 19,873
JNL/S&P MANAGED MODERATE GROWTH FUND
Mutual Funds - 99.9%
Aggressive Growth - 28.5%
JNL/AIM Large Cap Growth Fund (n) 2,037 $ 23,768
JNL/Alger Growth Fund (n) 1,470 22,779
JNL/Eagle Smallcap Equity Fund (n) 569 11,360
JNL/FMR Capital Growth Fund (n) 742 11,630
JNL/Lazard Mid Cap Value Fund (n) 810 11,875
JNL/Lazard Small Cap Value Fund (n) 833 11,506
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund (n) 3,075 27,057
JNL/Oppenheimer Global Growth Fund (n) 2,126 25,341
JNL/T.Rowe Price Mid-Cap Growth Fund (n) 1,118 31,163
176,479
Greater Opportunity for Stability - 5.0%
JNL/Select Money Market Fund (n) 30,745 30,745
Growth - 29.0%
JNL/Eagle Core Equity Fund (n) 4,202 62,858
JNL/Mellon Capital Management International
Index Fund (n) 2,241 30,633
JNL/Mellon Capital Management S&P 500 Index Fund (n) 2,034 21,677
JNL/T.Rowe Price Established Growth Fund (n) 3,515 64,536
179,704
Growth & Income - 14.8%
JNL/Select Value Fund (n) 1,813 30,294
JNL/T.Rowe Price Value Fund (n) 4,483 61,142
91,436
Income - 22.6%
JNL/PIMCO Total Return Bond Fund (n) 5,479 65,523
JNL/Salomon Brothers High Yield Bond Fund (n) 2,035 17,317
JNL/Salomon Brothers Strategic Bond Fund (n) 3,568 40,920
JNL/Salomon Brothers U.S. Government & Quality
Bond Fund (n) 1,452 16,426
140,186
Total Mutual Funds (cost $564,351) 618,550
Total Investments - 99.9% (cost $564,351) 618,550
Other Assets and Liabilities, Net - 0.1% 556
Total Net Assets - 100% $ 619,106
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Percentage of Total
Industry Sector Investments (o)
Communications 20.4%
Consumer, Cyclical 17.3%
Industrial 13.0%
Consumer, Non-cyclical 11.0%
Basic Materials 9.6%
Financial 9.5%
Energy 9.0%
Utilities 6.4%
Technology 3.8%
100.0%
Common Stocks - 0.3%
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 $ -
Food - 0.0%
VFB LLC. (b) 79 9
Home Furnishings - 0.0%
Mattress Disounter Restricted (b) 1 -
Household Products - 0.0%
ContinentalAFA Dispensing Co. (b) 4 13
Machinery - 0.0%
Terex Corp. (b) - 12
Media - 0.0%
UnitedGlobalCom Inc. (b) (l) 10 95
Telecommunications - 0.2%
NTL Inc. (b) 3 253
Telewest Global Inc. (b) (l) 10 174
427
Wireless Telecommunications - 0.1%
Spectrasite Inc. (b) (l) 4 256
Total Common Stocks (cost $989) 812
Preferred Stocks - 0.0%
Wireless Telecommunications - 0.0%
Alamosa Holdings Inc., 7.50% - 121
Total Preferred Stocks (cost $38) 121
Warrants - 0.0%
Retail - 0.0%
Mattress Discounters Corp., Strike Price $0.01,
Expiring 07/15/07 - -
Telecommunications - 0.0%
AT&T Canada Inc., No Strike Price, Expiring 08/15/07 1 25
Minorplanet Systems USA Inc., Strike Price $240.625,
Expiring 09/15/05 2 -
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 1 -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01,
Expiring 08/01/08 - 8
Total Warrants (cost $7) 33
Corporate Bonds - 92.7%
Advertising - 0.9%
R.H. Donnelley Finance Corp. I
8.875%, 12/15/10 (e) $550 613
10.875%, 12/15/12 (e) 1,075 1,277
SITEL Corp., 9.25%, 03/15/06 135 136
Vertis Inc., 9.75%, 04/01/09 (l) 500 543
2,569
Aerospace & Defense - 1.9%
Alliant Techsystems Inc., 8.50%, 05/15/11 500 548
DRS Technologies Inc., 6.875%, 11/01/13 (e) 1,150 1,202
L-3 Communications Corp.
6.125%, 07/15/13 1,000 1,033
7.625%, 06/15/12 650 713
Sequa Corp.
8.875%, 04/01/08 196 215
9.00%, 08/01/09 75 86
Stellex Aerostructures Inc., 9.50%, 11/01/07 (i) 125 -
Titan Corp., 8.00%, 05/15/11 1,375 1,464
5,260
Airlines - 0.3%
Continental Airlines Inc.
7.25%, 11/01/05 25 23
6.541%, 09/15/08 46 42
United AirLines Inc., 6.201%, 09/01/08 (i) 998 910
975
Apparel - 1.0%
Levi Strauss & Co., 11.625%, 01/15/08 (l) 1,405 1,475
Oxford Industries, 8.875%, 06/01/11 1,225 1,316
2,791
Auto Manufacturers - 0.5%
General Motors Corp., 8.375%, 07/15/33 (l) 1,250 1,295
Auto Parts & Equipment - 0.9%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 100 -
Keystone Automotive Operations Inc., 9.75%, 11/01/13 50 53
TRW Automotive Inc.
9.375%, 02/15/13 491 570
11.00%, 02/15/13 (l) 1,650 1,988
2,611
Building Materials - 1.0%
Ainsworth Lumber, 7.25%, 10/01/12 (e) 1,475 1,501
Associated Materials Inc., 11.25%, 03/01/14 2,025 1,458
2,959
Chemicals - 7.5%
Applied Extrusion Technologies Inc., 10.75%,
07/01/11 (i) (l) 150 89
Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 85 -
Compass Minerals Group Inc., 10.00%, 08/15/11 75 83
Equistar Chemicals LP
10.125%, 09/01/08 1,000 1,152
10.625%, 05/01/11 2,075 2,407
ETHYL Corp., 8.875%, 05/01/10 95 105
FMC Corp.
10.25%, 11/01/09 500 574
7.75%, 07/01/11 75 79
Huntsman International LLC
9.875%, 03/01/09 2,500 2,744
10.125%, 07/01/09 (l) 75 79
IMC Global Inc., 10.875%, 06/01/08 500 600
Innophos Inc., 8.875%, 08/15/14 (e) 1,250 1,350
ISP Chemco Inc., 10.25%, 07/01/11 100 113
Johnsondiversey Inc., 9.625%, 05/15/12 1,000 1,118
Lyondell Chemical Co.
11.125%, 07/15/12 100 119
9.50%, 12/15/08 600 651
10.50%, 06/01/13 1,700 2,023
Millennium America Inc.
7.00%, 11/15/06 750 780
9.25%, 06/15/08 (l) 565 643
Nalco Co., 8.875%, 11/15/13 (l) 2,000 2,195
PolyOne Corp., 10.625%, 05/15/10 400 450
Resolution Performance Products LLC
8.00%, 12/15/09 100 108
9.50%, 04/15/10 350 379
13.50%, 11/15/10 975 1,060
Rhodia SA
7.625%, 06/01/10 (l) 100 100
10.25%, 06/01/10 750 844
8.875%, 06/01/11 (l) 750 756
Union Carbide Chemical & Plastics Co. Inc.,
7.875%, 04/01/23 (l) 200 210
Union Carbide Corp.
6.70%, 04/01/09 (l) 100 106
6.79%, 06/01/25 (l) 100 102
United Industries Corp., 9.875%, 04/01/09 150 157
Westlake Chemical Corp., 8.75%, 07/15/11 48 54
21,230
Commercial Services - 2.0%
Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 775 810
Brand Services Inc., 12.00%, 10/15/12 75 84
Cenveo Corp., 7.875%, 12/01/13 (l) 900 837
Iron Mountain Inc.
8.25%, 07/01/11 750 773
8.625%, 04/01/13 1,225 1,302
7.75%, 01/15/15 625 634
Mail-Well I Corp., 9.625%, 03/15/12 (l) 550 604
Service Corp. International
7.70%, 04/15/09 (l) 300 324
7.70%, 04/15/09 (l) 200 216
5,584
Computers - 0.9%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 1,500 1,620
Unisys Corp.
7.25%, 01/15/05 370 370
8.125%, 06/01/06 630 664
2,654
Distribution & Wholesale - 0.4%
National Waterworks Inc., 10.50%, 12/01/12 1,000 1,125
Wesco Distribution Inc., 9.125%, 06/01/08 75 77
1,202
Diversified Financial Services - 2.9%
Affinia Group, 9.00%, 11/30/14 (e) 675 704
Airplane Pass-Through Trust, 10.875%, 03/15/12 (i) 123 -
Alamosa Delaware Inc.
(Step-Up Bond), 12.00%, 07/31/09 (d) (l) 1,427 1,548
8.50%, 01/31/12 1,500 1,639
BCP Caylux Holdings Luxembourg SCA,
9.625%, 06/15/14 (e) 1,800 2,030
Case Credit Corp., 6.75%, 10/21/07 250 255
CFN Liquidating Trust 115 2
Global Cash Access LLC, 8.75%, 03/15/12 500 539
Riddell Bell Holdings Inc., 8.375%, 10/01/12 (e) 1,450 1,500
Sensus Metering Systems Inc., 8.625%, 12/15/13 75 77
8,294
Electric - 6.3%
AES Corp.
8.75%, 06/15/08 (l) 50 55
9.50%, 06/01/09 (l) 2,700 3,071
9.375%, 09/15/10 (l) 50 58
8.875%, 02/15/11 (l) 25 29
9.00%, 05/15/15 (e) 550 630
Allegheny Energy Supply, 10.25%, 11/15/07 (e) 75 85
BRL Universal Equipment, 8.875%, 02/15/08 150 158
Calpine Corp.
8.75%, 07/15/07 (l) 25 22
8.50%, 07/15/10 (e) (l) 3,600 3,087
8.75%, 07/15/13 (e) 40 33
CMS Energy Corp., 8.50%, 04/15/11 1,000 1,136
Edison Mission Energy Corp.
10.00%, 08/15/08 200 230
7.73%, 06/15/09 (l) 125 134
9.875%, 04/15/11 (l) 250 296
Homer City Funding LLC, 8.734%, 10/01/26 100 116
Midwest Generation LLC, 8.56%, 01/02/16 350 389
Mirant Americas Generation Inc.
7.61%, 05/01/06 (i) 50 54
9.125%, 05/01/31 (i) 100 104
Mission Energy Holding Co., 13.50%, 07/15/08 300 374
Nevada Power Co.
8.25%, 06/01/11 1,000 1,149
9.00%, 08/15/13 500 585
NRG Energy Inc., 8.00%, 12/15/13 (e) 2,175 2,370
Orion Power Holdings Inc., 12.00%, 05/01/10 500 635
Reliant Energy Inc., 9.50%, 07/15/13 2,650 3,011
17,811
Electrical Components & Equipment - 0.0%
Motors and Gears Inc., 10.75%, 11/15/06 100 98
Electronics - 0.6%
Fisher Scientific International, 8.00%, 09/01/13 (l) 500 568
Muzak LLC, 10.00%, 02/15/09 50 46
Sanmina-SCI Corp., 10.375%, 01/15/10 1,000 1,148
1,762
Entertainment - 3.0%
Argosy Gaming Co.
9.00%, 09/01/11 1,000 1,115
7.00%, 01/15/14 (l) 100 111
Choctaw Resort Development Enterprise,
7.25%, 11/15/19 (e) 975 985
Cinemark USA Inc., 9.00%, 02/01/13 (l) 1,000 1,141
Herbst Gaming Inc., 8.125%, 06/01/12 1,400 1,498
Isle of Capri Casinos Inc., 7.00%, 03/01/14 100 102
Pinnacle Entertainment Inc.
8.25%, 03/15/12 1,500 1,594
8.75%, 10/01/13 (l) 75 80
Scientific Games Corp., 6.25%, 12/15/12 (e) 700 712
Six Flags Inc.
9.50%, 02/01/09 (l) 1,000 1,040
8.875%, 02/01/10 (l) 200 203
9.625%, 06/01/14 (l) 25 25
8,606
Environmental Control - 1.5%
Allied Waste North America
5.75%, 02/15/11 450 423
9.25%, 09/01/12 100 108
7.875%, 04/15/13 1,500 1,538
6.125%, 02/15/14 (l) 800 752
7.375%, 04/15/14 (l) 75 72
IESI Corp., 10.25%, 06/15/12 1,000 1,170
IMCO Recycling Inc., 10.375%, 10/15/10 75 85
Safety-Kleen Services, 9.25%, 06/01/08 (i) 125 -
4,148
Food - 2.7%
Ahold Finance USA Inc., 8.25%, 07/15/10 1,000 1,133
Ahold Lease USA Inc., 7.82%, 01/02/20 47 51
Del Monte Corp.
8.625%, 12/15/12 2,000 2,240
9.25%, 05/15/11 1,000 1,095
Doane Pet Care Co, 10.75%, 03/01/10 100 107
Dole Food Co., Inc., 8.875%, 03/15/11 600 652
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (l) 1,500 1,429
United Agri Products, 8.75%, 12/15/11 (e) 1,040 1,115
7,822
Forest Products & Paper - 1.9%
Abitibi-Consolidated Inc., 8.55%, 08/01/10 (l) 1,150 1,246
Appleton Papers Inc., 8.125%, 06/15/11 1,000 1,078
Bowater Inc., 6.50%, 06/15/13 100 100
Buckeye Technologies Inc.
9.25%, 09/15/08 (l) 50 50
8.00%, 10/15/10 25 25
Cascades Inc., 7.25%, 02/15/13 500 530
Newark Group Inc., 9.75%, 03/15/14 700 746
Norske Skog Canada Ltd., 8.625%, 06/15/11 1,475 1,582
5,356
Healthcare - 4.8%
Ameripath Inc., 10.50%, 04/01/13 75 80
Community Health Systems, 6.50%, 12/15/12 (e) 700 705
Extendicare Health Services Inc., 9.50%, 07/01/10 75 84
HCA Inc.
6.25%, 02/15/13 1,700 1,715
7.69%, 06/15/25 1,350 1,384
7.50%, 11/06/33 (l) 500 510
IASIS Capital Corp.,
8.75%, 06/15/14 (l) 2,300 2,507
Insight Health Services Corp., 9.875%, 11/01/11 (l) 50 51
Psychiatric Solutions Inc., 10.625%, 06/15/13 1,200 1,389
Sola International Inc., 6.875%, 03/15/08 75 76
Tenet Healthcare Corp.
6.50%, 06/01/12 1,300 1,203
7.375%, 02/01/13 (l) 175 170
9.875%, 07/01/14 (e) 900 981
Triad Hospitals Inc., 7.00%, 11/15/13 (l) 1,600 1,636
VWR International Inc., 8.00%, 04/15/14 (e) 1,025 1,094
13,583
Holding Companies - Diversified - 0.0%
JSG Funding Plc, 9.625%, 10/01/12 75 84
Home Builders - 1.6%
K Hovnanian Enterprises Inc., 7.75%, 05/15/13 500 540
Ryland Group Inc., 9.125%, 06/15/11 (l) 1,000 1,113
Schuler Homes Inc., 10.50%, 07/15/11 (l) 1,500 1,706
Toll Corp., 8.25%, 02/01/11 500 540
WCI Communities Inc., 10.625%, 02/15/11 500 555
4,454
Home Furnishings - 0.5%
Applica Inc., 10.00%, 07/31/08 (l) 21 21
Sealy Mattress Co., 8.25%, 06/15/14 (l) 1,400 1,484
1,505
Household Products - 0.6%
Johnsondiversey Holdings Inc.,
(Step-Up Bond), 10.67%, 05/15/13 (d) 2,000 1,730
Internet - 0.6%
FTD Inc., 7.75%, 02/15/14 1,575 1,622
Iron & Steel - 0.0%
AK Steel Corp., 7.875%, 02/15/09 75 76
Ispat Inland ULC, 9.75%, 04/01/14 48 60
136
Leisure Time - 0.3%
AMF Bowling Worldwide Inc., 10.00%, 03/01/10 100 107
Icon Health & Fitness Corp., 11.25%, 04/01/12 750 630
Leslie's Poolmart Inc., 10.375%, 07/15/08 125 132
869
Lodging - 5.5%
Ameristar Casinos Inc., 10.75%, 02/15/09 2,000 2,230
Boyd Gaming Corp., 7.75%, 12/15/12 1,000 1,090
Hilton Hotels Corp., 8.25%, 02/15/11 1,000 1,183
John Q Hammons Hotels LP, 8.875%, 05/15/12 100 113
Mandalay Resort Group
10.25%, 08/01/07 750 848
6.375%, 12/15/11 500 523
MGM Mirage
9.75%, 06/01/07 2,000 2,220
8.50%, 09/15/10 500 569
Park Place Entertainment Corp.
8.875%, 09/15/08 1,100 1,246
8.125%, 05/15/11 (l) 1,000 1,155
Starwood Hotels & Resorts Worldwide Inc.,
7.875%, 05/01/12 1,500 1,714
Station Casinos Inc., 6.50%, 02/01/14 (l) 1,000 1,028
Sun International Hotels Ltd., 8.875%, 08/15/11 275 300
Turning Stone Casino Resort Enterprise,
9.125%, 12/15/10 (e) 1,250 1,353
Venetian Casino Resort LLC, 11.00%, 06/15/10 100 114
15,686
Machinery - 1.2%
AGCO Corp., 9.50%, 05/01/08 538 573
Case New Holland Inc.
9.25%, 08/01/11 (e) 1,750 1,947
Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 350 357
NMHG Holding Co., 10.00%, 05/15/09 75 83
Terex Corp., 10.375%, 04/01/11 (l) 500 560
3,520
Manufacturing - 1.2%
Blount Inc., 8.875%, 08/01/12 650 705
Invensys Plc, 9.875%, 03/15/11 (e) (l) 50 54
Ki Holdings, (Step-Up Bond), 9.825%, 11/15/14 (d) (e) 2,150 1,376
Park-ohio Industries Inc., 8.375%, 11/15/14 (e) (l) 1,375 1,375
3,510
Media - 8.8%
Cablevision Systems Corp., 8.00%, 04/15/12 (e) 50 53
Charter Communications Holdings LLC
8.625%, 04/01/09 (l) 1,850 1,605
10.00%, 04/01/09 2,000 1,800
10.75%, 10/01/09 75 68
10.25%, 09/15/10 1,000 1,060
10.00%, 05/15/11 350 299
Charter Communications Operating LLC,
8.00%, 04/30/12 (e) 1,000 1,040
CSC Holdings Inc.
7.625%, 04/01/11 2,500 2,694
10.50%, 05/15/16 125 142
7.875%, 02/15/18 1,000 1,080
Dex Media Corp., (Step-Up Bond), 9.00%, 11/15/13 (d) 200 157
Dex Media East LLC, 12.125%, 11/15/12 1,494 1,821
Dex Media West LLC, 9.875%, 08/15/13 1,074 1,238
DirecTV Holdings LLC, 8.375%, 03/15/13 2,100 2,355
Echostar DBS Corp., 6.375%, 10/01/11 2,000 2,045
Houghton Mifflin Co.
8.25%, 02/01/11 (l) 270 288
9.875%, 02/01/13 (l) 1,340 1,467
Lodgenet Entertainment Corp., 9.50%, 06/15/13 75 83
Mediacom Broadband LLC, 11.00%, 07/15/13 (l) 50 54
Mediacom Capital Corp., 9.50%, 01/15/13 1,982 1,989
Nextmedia Operating Inc., 10.75%, 07/01/11 125 140
Radio One Inc., 8.875%, 07/01/11 25 27
Rogers Cable Inc.
6.25%, 06/15/13 (l) 1,000 1,003
8.75%, 05/01/32 25 28
Rogers Cablesystems Ltd., 10.00%, 03/15/05 1,100 1,115
Yell Finance BV, (Step-Up Bond), 13.50%, 08/01/11 (d)(l) 33 32
Young Broadcasting Inc., 10.00%, 03/01/11 (l) 1,425 1,520
25,203
Metal Fabrication & Hardware - 1.0%
Mueller Group Inc., 10.00%, 05/01/12 90 98
Mueller Holdings Inc.,
(Step-Up Bond), 14.75%, 04/15/14 (d) 2,000 1,370
Wolverine Tube Inc., 10.50%, 04/01/09 1,300 1,417
2,885
Mining - 0.3%
Peabody Energy Corp., 6.875%, 03/15/13 750 812
Office & Business Equipment - 1.5%
General Binding Corp., 9.375%, 06/01/08 2,000 2,000
Xerox Corp.
9.75%, 01/15/09 (g) 1,000 1,175
6.875%, 08/15/11 500 532
7.625%, 06/15/13 500 549
4,256
Oil & Gas Producers - 3.6%
Chesapeake Energy Corp.
8.125%, 04/01/11 1,000 1,083
7.00%, 08/15/14 500 532
Denbury Resources Inc., 7.50%, 04/01/13 (l) 1,000 1,080
El Paso Production Holding Co., 7.75%, 06/01/13 1,000 1,048
Magnum Hunter Resources Inc., 9.60%, 03/15/12 81 92
Newfield Exploration Co., 7.625%, 03/01/11 975 1,097
Pioneer Natural Resources Co., 5.875%, 07/15/16 (l) 1,000 1,045
Pride International Inc., 7.375%, 07/15/14 (l) 2,000 2,185
Stone Energy Corp., 8.25%, 12/15/11 635 686
Vintage Petroleum Inc.
7.875%, 05/15/11 (l) 850 905
8.25%, 05/01/12 500 550
10,303
Oil & Gas Services - 0.3%
Key Energy Services Inc., 6.375%, 05/01/13 500 509
Universal Compression Inc., 7.25%, 05/15/10 200 213
722
Packaging & Containers - 3.8%
Anchor Glass Container Corp., 11.00%, 02/15/13 1,300 1,391
Berry Plastics Corp., 10.75%, 07/15/12 1,425 1,632
Graphic Packaging International Corp., 9.50%,
08/15/13 (l) 2,250 2,559
Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 1,000 1,090
Owens-Brockway, 8.875%, 02/15/09 1,000 1,086
Owens-Illinois Inc., 8.10%, 05/15/07 (l) 1,000 1,065
Plastipak Holdings Inc., 10.75%, 09/01/11 100 113
Pliant Corp.
11.125%, 09/01/09 175 190
13.00%, 06/01/10 (l) 400 390
Radnor Holdings Corp., 11.00%, 03/15/10 (l) 100 86
Stone Container Corp.
9.75%, 02/01/11 125 137
8.375%, 07/01/12 1,000 1,090
Tekni-Plex Inc., 12.75%, 06/15/10 (l) 100 95
10,924
Pharmaceuticals - 0.0%
aaiPharma Inc., 11.50%, 04/01/10 (l) 75 56
Vicar Operating Inc., 9.875%, 12/01/09 75 82
138
Pipelines - 4.7%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 550 615
6.875%, 04/01/11 (l) 2,100 2,020
10.125%, 07/15/13 (e) 1,500 1,718
7.125%, 05/15/18 25 22
7.625%, 10/15/26 125 109
El Paso Corp.
7.875%, 06/15/12 (l) 2,000 2,093
7.75%, 01/15/32 (l) 1,850 1,770
Transcontinental Gas Pipe Line Corp., 8.875%, 07/15/12 1,500 1,824
Williams Cos. Inc.
7.125%, 09/01/11 (l) 1,000 1,093
8.125%, 03/15/12 (l) 500 578
7.625%, 07/15/19 50 55
7.875%, 09/01/21 200 223
8.75%, 03/15/32 1,000 1,149
13,269
Real Estate - 1.3%
Felcor Lodging LP, 10.00%, 09/15/08 101 106
Host Marriott Corp., 7.875%, 08/01/08 109 111
Host Marriott LP
8.375%, 02/15/06 50 52
7.125%, 11/01/13 (l) 2,075 2,218
Meristar Hospitality Corp., 9.125%, 01/15/11 (l) 1,100 1,188
MeriStar Hospitality Operating Partnership LP,
10.50%, 06/15/09 50 55
3,730
Retail - 2.5%
Buffets Inc., 11.25%, 07/15/10 75 80
Carrols Corp., 9.00%, 01/15/13 (e) 700 725
CSK Auto Inc., 7.00%, 01/15/14 (l) 425 417
Eye Care Centers of America, 9.125%, 05/01/08 75 75
Finlay Fine Jewelry Corp., 8.375%, 06/01/12 1,325 1,431
General Nutrition Centers Inc., 8.50%, 12/01/10 1,350 1,276
Home Interiors & Gifts Inc., 10.125%, 06/01/08 (l) 175 144
J.C. Penney Co. Inc.
7.125%, 11/15/23 (l) 500 533
7.40%, 04/01/37 1,000 1,068
Jafra Cosmetics International Inc., 10.75%, 05/15/11 100 113
Rite Aid Corp., 11.25%, 07/01/08 (l) 75 81
Saks Inc.
7.50%, 12/01/10 630 671
7.00%, 12/01/13 294 300
7.375%, 02/15/19 75 74
6,988
Semiconductors - 1.3%
Amkor Technology Inc.
9.25%, 02/15/08 (l) 1,000 1,022
7.75%, 05/15/13 (l) 1,000 940
Fairchild Semiconductor International Inc.,
10.50%, 02/01/09 1,000 1,055
Freescale Semiconductor, 7.125%, 07/15/14 (l) 750 814
3,831
Telecommunications - 3.5%
AT&T Corp., 9.75%, 11/15/31 (g) 1,175 1,403
Insight Midwest Capital Inc.
9.75%, 10/01/09 (l) 575 602
10.50%, 11/01/10 (l) 525 575
NTL Cable Plc, 8.75%, 04/15/14 (e) (l) 600 677
Qwest Corp., 5.625%, 11/15/08 (l) 1,500 1,526
Qwest Services Corp.
13.50%, 12/15/07 (e) 1,500 1,714
14.00%, 12/15/10 (e) 2,725 3,277
14.50%, 12/15/14 (e) 50 62
9,836
Telecommunications Equipment - 1.2%
Lucent Technologies Inc., 6.45%, 03/15/29 (l) 3,675 3,326
Textiles - 0.5%
Simmons Bedding Co.
7.875%, 01/15/14 525 543
10.00%, 12/15/14 (e) (l) 1,350 824
1,367
Tobacco - 0.7%
DIMON Inc., 9.625%, 10/15/11 1,820 1,993
Transportation - 0.4%
Holt Group Inc., 9.75%, 01/15/06 (i) 125 -
Teekay Shipping Corp., 8.875%, 07/15/11 1,100 1,276
1,276
Wireless Telecommunications - 4.8%
American Tower Corp.
9.375%, 02/01/09 (l) 28 30
7.50%, 05/01/12 (l) 2,750 2,888
Crown Castle International Corp.
9.375%, 08/01/11 675 756
10.75%, 08/01/11 1,000 1,085
Nextel Communications Inc.
6.875%, 10/31/13 (l) 1,500 1,628
7.375%, 08/01/15 2,550 2,805
SBA Telecommunications Inc.,
(Step-Up Bond), 9.75%, 12/15/11 (d) 3,300 2,780
Spectrasite Inc., 8.25%, 05/15/10 50 52
UbiquiTel Operating Co., 9.875%, 03/01/11 1,425 1,600
13,624
Total Corporate Bonds (cost $250,270) 264,209
Short Term Investments - 29.2%
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.98% (a) - -
Repurchase Agreement - 5.1%
Repurchase Agreement with Merrill Lynch, 2.20%,
(Collateralized by $14,985 Federal Home Loan Bank,
6.00%, due 09/03/24, market value $15,032) acquired
on 12/31/04, due 01/03/05 at $14,505 $14,505 14,505
Securities Lending Collateral - 24.1%
Mellon GSL Delaware Business Trust Collateral Fund 68,806 68,806
Total Short Term Investments (cost $83,311) 83,311
Total Investments - 122.2% (cost $334,615) 348,486
Other Assets and Liabilities, Net - (22.2%) (63,524)
Total Net Assets - 100% $ 284,962
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Percentage of Total
Industry Sector Investments (o)
Financial 30.5%
Government 29.1%
Mortgage Securities 19.1%
Communications 4.3%
Asset Backed Securities 3.7%
Consumer, Non-cyclical 2.7%
Consumer, Cyclical 2.5%
Energy 2.3%
Basic Materials 1.9%
Utilities 1.9%
Industrial 1.8%
Technology 0.2%
100.0%
Common Stocks - 0.6%
Computers - 0.0%
Axiohm Transaction Solutions Inc. (b) 1 $ -
Food - 0.0%
VFB LLC. (b) 79 9
Household Products - 0.0%
ContinentalAFA Dispensing Co. (b) 9 26
Media - 0.1%
UnitedGlobalCom Inc. (b) (l) 29 277
Telecommunications - 0.3%
NTL Inc. (b) 8 613
Telewest Global Inc. (b) 12 209
822
Wireless Telecommunications - 0.2%
Spectrasite Inc. (b) (l) 6 346
Total Common Stocks (cost $1,285) 1,480
Preferred Stocks - 0.1%
Holding Companies - Diversified - 0.0%
TCR Holdings - Class B (b) - -
TCR Holdings - Class C (b) - -
TCR Holdings - Class D (b) 1 -
TCR Holdings - Class E (b) 1 -
-
Wireless Telecommunications - 0.1%
Alamosa Holdings Inc., 7.50% - 295
Total Preferred Stocks (cost $99) 295
Rights - 0.0%
Sovereign - 0.0%
Venezuela Par Rights, No strike price, 04/15/20 4 -
Total Rights (cost $0) -
Warrants - 0.0%
Textiles - 0.0%
Pillowtex Corp., Strike Price $28.99, Expiring 11/24/09 - -
Wireless Telecommunications - 0.0%
American Tower Corp., Strike Price $0.01,
Expiring 08/01/08 - 33
Total Warrants (cost $9) 33
Corporate Bonds - 35.2%
Advertising - 0.3%
Advanstar Communications Inc., 10.75%, 08/15/10 175 198
Interep National Radio Sales Inc., 10.00%, 07/01/08 100 75
R.H. Donnelley Finance Corp. I, 10.875%, 12/15/12 (e) 175 208
SITEL Corp., 9.25%, 03/15/06 135 136
617
Aerospace & Defense - 0.4%
Alliant Techsystems Inc., 8.50%, 05/15/11 125 137
Argo-Tech Corp., 9.25%, 06/01/11 175 192
DRS Technologies Inc., 6.875%, 11/01/13 (e) 150 157
L-3 Communications Corp., 7.625%, 06/15/12 200 220
Sequa Corp., 9.00%, 08/01/09 125 140
846
Agriculture - 0.1%
Hines Nurseries Inc., 10.25%, 10/01/11 200 219
Airlines - 0.1%
Continental Airlines Inc.
7.25%, 11/01/05 100 94
6.541%, 09/15/08 118 109
203
Apparel - 0.1%
Levi Strauss & Co.
7.00%, 11/01/06 50 52
11.625%, 01/15/08 (l) 70 74
12.25%, 12/15/12 80 89
215
Asset Backed Securities - 5.4%
Amortizing Residential Collateral Trust,
3.6175%, 08/25/32 (g) 750 754
Argent NIM Trust, 4.70%, 07/25/34 (e) 627 625
Asset Backed Securities Corp. Home Equity Loan,
4.3025%, 04/15/33 (g) 500 507
Bayview Financial Acquisition Trust,
3.6675%, 08/25/36 (e) (g) 1,000 995
Bear Stearns Asset Backed Securities
6.50%, 08/25/05 (e) 165 165
5.00%, 05/25/34 (e) 295 294
5.25%, 08/25/34 (e) 418 417
Commercial Mortgage Asset Trust, 7.35%, 01/17/32 400 471
Commercial Mortgage Pass-thru Trust,
3.40%, 11/15/15 (e) (g) 457 460
Countrywide Asset-Backed Certificates
3.6675%, 06/25/34 640 640
5.50%, 10/25/35 (e) 411 411
CS First Boston Mortgage Securities Corp.,
3.6375%, 09/25/31 (g) 334 336
First Consumers Master Trust, 2.7125%, 09/15/08 (g) 770 752
Green Tree Financial Corp., 7.07%, 01/15/29 843 895
Merit Securities Corp., 3.92%, 09/28/32 (e) (g) 1,100 1,066
Metris Master Trust, 3.49%, 11/20/09 (g) 700 695
Mid-State Trust, 7.34%, 07/01/35 429 465
Novastar Home Equity Loan,
4.04%, 02/25/34 220 226
3.3925%, 06/25/34 450 449
Residential Asset Securities Corp., 3.52%, 04/25/32 (g) 500 503
Sail Net Interest Margin Notes
7.75%, 04/27/33 (e) 35 35
6.75%, 11/27/33 (e) 75 74
5.50%, 03/27/34 (e) 582 579
5.00%, 04/27/34 (e) 401 403
5.00%, 12/27/34 (e) 472 472
12,689
Auto Manufacturers - 0.3%
DaimlerChrysler NA Holding Corp., 4.05%, 06/04/08 625 624
Auto Parts & Equipment - 0.2%
Breed Technologies Inc., 9.25%, 04/15/08 (i) 250 -
Eagle-Picher Industries Inc., 9.75%, 09/01/13 200 200
Tenneco Automotive Inc., 10.25%, 07/15/13 (l) 100 118
TRW Automotive Inc., 9.375%, 02/15/13 179 208
526
Banks - 1.1%
Bank of America Corp., 4.25%, 10/01/10 975 973
Corp. Andina de Fomento, 6.875%, 03/15/12 550 618
Standard Chartered Bank, 8.00%, 05/30/31 (e) (f) 730 929
2,520
Building Materials - 0.2%
Associated Materials Inc., 11.25%, 03/01/14 350 252
THL Buildco Inc., 8.50%, 09/01/14 (e) 100 105
357
Chemicals - 1.2%
Applied Extrusion Technologies Inc., 10.75%, 07/01/11 (i)100 60
Borden Chemical & Plastic, 9.50%, 05/01/05 (i) 140 -
Compass Minerals Group Inc., 10.00%, 08/15/11 150 169
Equistar Chemicals LP, 10.625%, 05/01/11 175 203
ETHYL Corp., 8.875%, 05/01/10 225 249
Huntsman International LLC, 10.125%, 07/01/09 250 263
ISP Chemco Inc., 10.25%, 07/01/11 225 254
Lyondell Chemical Co, 11.125%, 07/15/12 225 267
Methanex Corp., 8.75%, 08/15/12 (l) 175 204
Millennium America Inc., 9.25%, 06/15/08 (l) 250 284
Resolution Performance Products LLC
9.50%, 04/15/10 100 108
13.50%, 11/15/10 125 136
Rhodia SA, 7.625%, 06/01/10 (l) 225 226
United Industries Corp., 9.875%, 04/01/09 325 340
Westlake Chemical Corp., 8.75%, 07/15/11 131 148
2,911
Commercial Services - 0.4%
Allied Security Escrow Corp., 11.375%, 07/15/11 (e) 75 78
Brand Services Inc., 12.00%, 10/15/12 100 112
Cenveo Corp., 7.875%, 12/01/13 (l) 175 162
Iron Mountain Inc., 7.75%, 01/15/15 350 355
Mail-Well I Corp., 9.625%, 03/15/12 75 82
791
Computers - 0.1%
Seagate Technology HDD Holdings, 8.00%, 05/15/09 (l) 125 135
Diversified Financial Services - 4.8%
Airplane Pass-Through Trust, 10.875%, 03/15/12 (i) 247 -
Alamosa Delaware Inc., 11.00%, 07/31/10 161 190
BCP Caylux Holdings Luxembourg SCA,
9.625%, 06/15/14 (e) 150 169
Borden US Finance Corp., 9.00%, 07/15/14 (e) (l) 75 83
Canwest Media Inc., 8.00%, 09/15/12 (e) 279 299
Capital One Financial Corp., 7.25%, 05/01/06 800 839
CIT Group Inc., 7.75%, 04/02/12 925 1,095
Contifinancial Corp. Liquidating Trust, 0.00%, 06/15/00 230 4
Countrywide Home Loans Inc., 4.00%, 03/22/11 (f) 1,125 1,094
Ford Motor Credit Co., 7.875%, 06/15/10 375 413
General Electric Capital Corp., 6.00%, 06/15/12 (f) 1,250 1,363
General Motors Acceptance Corp., 6.875%, 09/15/11 (f) 1,025 1,050
Household Finance Corp., 6.375%, 11/27/12 (f) 975 1,077
Huntsman Advanced Materials LLC, 11.00%, 07/15/10 (e) 200 238
International Lease Finance Corp., 4.375%, 11/01/09 325 326
JPMorgan Chase & Co., 6.625%, 03/15/12 (l) 700 784
MBNA Corp., 4.625%, 09/15/08 (l) 675 686
Morgan Stanley Dean Witter & Co., 6.60%, 04/01/12 1,000 1,115
Riddell Bell Holdings Inc., 8.375%, 10/01/12 (e) 125 129
Sensus Metering Systems Inc., 8.625%, 12/15/13 250 256
11,210
Electric - 2.0%
AES Corp.
9.375%, 09/15/10 (l) 125 145
7.75%, 03/01/14 175 190
Allegheny Energy Supply, 10.25%, 11/15/07 (e) 250 283
BRL Universal Equipment, 8.875%, 02/15/08 7578
Calpine Corp., 8.50%, 07/15/10 (e) (l) 300 257
Calpine Generating Co. LLC, 11.17%, 04/01/11 (g) 125 122
Duke Energy Corp., 4.20%, 10/01/08 (l) 725 731
Edison Mission Energy Corp., 9.875%, 04/15/11 350 415
Entergy Gulf States Inc., 6.20%, 07/01/33 (f) 600 602
Mirant Americas Generation Inc., 9.125%, 05/01/31 (i) 250 261
Mirant Americas Generation LLC, 8.30%, 05/01/11 (i) 300 317
NRG Energy Inc., 8.00%, 12/15/13 (e) 250 273
Pinnacle West Capital Corp., 6.40%, 04/01/06 675 695
Reliant Energy Inc., 9.50%, 07/15/13 350 398
4,767
Electronics - 0.1%
Muzak LLC
10.00%, 02/15/09 75 70
9.875%, 03/15/09 (l) 125 87
157
Entertainment - 0.4%
Cinemark Inc., (Step-Up Bond), 9.75%, 03/15/14 (d) 275 208
Herbst Gaming Inc., 8.125%, 06/01/12 175 187
Isle of Capri Casinos Inc., 7.00%, 03/01/14 250 255
LCE Acquisition Corp., 9.00%, 08/01/14 (e) 25 28
Pinnacle Entertainment Inc., 8.75%, 10/01/13 175 189
Six Flags Inc.
9.75%, 04/15/13 (l) 75 76
9.625%, 06/01/14 25 25
968
Environmental Control - 0.2%
Allied Waste North America
8.875%, 04/01/08 100 107
9.25%, 09/01/12 100 108
7.375%, 04/15/14 (l) 100 96
IMCO Recycling Escrow Inc., 9.00%, 11/15/14 (e) 25 26
IMCO Recycling Inc., 10.375%, 10/15/10 175 199
Safety-Kleen Services, 9.25%, 06/01/08 (i) 375 -
536
Food - 0.6%
Ahold Lease USA Inc., 7.82%, 01/02/20 47 51
Doane Pet Care Co.
10.75%, 03/01/10 25 27
9.75%, 05/15/07 225 222
Kraft Foods Inc., 5.625%, 11/01/11 215 228
Nutritional Sourcing Corp., 10.125%, 08/01/09 14 10
Pinnacle Foods Holding Corp., 8.25%, 12/01/13 (e) (l) 175 167
Safeway Inc., 7.25%, 02/01/31 (l) 350 400
Swift & Co, 10.125%, 10/01/09 100 112
United Agri Products, 8.75%, 12/15/11 (e) 199 213
1,430
Forest Products & Paper - 0.7%
Abitibi-Consolidated Inc., 8.55%, 08/01/10 125 135
Blue Ridge Paper Products Inc., 9.50%, 12/15/08 100 94
Bowater Canada Finance, 7.95%, 11/15/11 150 162
Buckeye Technologies Inc.
9.25%, 09/15/08 (l) 150 150
8.00%, 10/15/10 75 75
Domtar Inc., 5.375%, 12/01/13 (l) 740 733
Smurfit Capital Funding Plc, 7.50%, 11/20/25 225 224
1,573
Healthcare - 1.6%
Ameripath Inc., 10.50%, 04/01/13 (l) 225 239
Extendicare Health Services Inc., 9.50%, 07/01/10 150 168
Genesis HealthCare Corp., 8.00%, 10/15/13 225 244
Humana Inc., 6.30%, 08/01/18 725 744
IASIS Healthcare LLC / IASIS Capital Corp.,
8.75%, 06/15/14 200 218
Insight Health Services Corp., 9.875%, 11/01/11 (l) 100 100
Medical Device Manufacturing Inc., 10.00%, 07/15/12 (e) 175 189
National Mentor Inc., 9.625%, 12/01/12 (e) 100 105
Psychiatric Solutions Inc., 10.625%, 06/15/13 150 174
Sybron Dental Specialites Inc., 8.125%, 06/15/12 275 300
Tenet Healthcare Corp.
7.375%, 02/01/13 (l) 275 267
9.875%, 07/01/14 (e) (l) 25 27
UnitedHealth Group Inc., 4.125%, 08/15/09 (l) 475 475
WellPoint Health Networks, 6.375%, 01/15/12 350 386
3,636
Holding Companies - Diversified - 0.0%
Nebco Evans Holding Co., 12.375%, 07/15/07 (i) 350 -
Home Furnishings - 0.1%
Applica Inc., 10.00%, 07/31/08 (l) 64 63
Sealy Mattress Co., 8.25%, 06/15/14 (l) 175 186
249
Internet - 0.1%
FTD Inc., 7.75%, 02/15/14 175 180
Iron & Steel - 0.1%
AK Steel Corp., 7.875%, 02/15/09 125 126
Leisure Time - 0.1%
Equinox Holdings Inc., 9.00%, 12/15/09 (l) 175 186
Icon Health & Fitness Corp., 11.25%, 04/01/12 100 84
270
Lodging - 0.7%
Boyd Gaming Corp., 8.75%, 04/15/12 (l) 225 250
Chumash Casino & Resort Enterprise, 9.00%, 07/15/10 (e) 75 83
John Q Hammons Hotels LP, 8.875%, 05/15/12 200 226
Mgm Mirage Inc., 6.75%, 09/01/12 375 395
Park Place Entertainment Corp., 8.125%, 05/15/11 (l) 125 144
Sun International Hotels Ltd., 8.875%, 08/15/11 150 164
Turning Stone Casino Resort Enterprise,
9.125%, 12/15/10 (e) 175 190
Venetian Casino Resort LLC, 11.00%, 06/15/10 200 228
1,680
Machinery - 0.2%
Case New Holland Inc., 9.25%, 08/01/11 (e) 25 28
Dresser-Rand Group Inc., 7.375%, 11/01/14 (e) 50 51
Flowserve Corp., 12.25%, 08/15/10 125 138
Terex Corp., 10.375%, 04/01/11 (l) 175 196
413
Manufacturing - 0.2%
Blount Inc., 8.875%, 08/01/12 75 80
Invensys Plc, 9.875%, 03/15/11 (e) (l) 100 108
Koppers Inc., 9.875%, 10/15/13 125 143
Park-ohio Industries Inc., 8.375%, 11/15/14 (e) 175 175
506
Media - 1.9%
AOL Time Warner Inc., 7.625%, 04/15/31 550 665
AT&T Broadband Corp., 8.375%, 03/15/13 600 740
Cablevision Systems Corp.
6.67%, 04/01/09 (e) 175 186
8.00%, 04/15/12 (e) 200 214
CBD Media Holdings LLC, 9.25%, 07/15/12 (e) 100 103
Charter Communications Holdings LLC
8.625%, 04/01/09 (l) 50 43
10.75%, 10/01/09 50 46
10.25%, 01/15/10 125 110
(Step-Up Bond), 11.75%, 01/15/10 (d) 75 70
10.00%, 05/15/11 550 470
(Step-Up Bond), 12.125%, 01/15/12 (d) 75 50
CSC Holdings Inc., 10.50%, 05/15/16 75 85
Dex Media Inc., (Step-Up Bond), 9.00%, 11/15/13 (d) 200 157
Dex Media West LLC, 9.875%, 08/15/13 196 226
DirecTV Holdings LLC, 8.375%, 03/15/13 200 224
Houghton Mifflin Co.,
(Step-Up Bond), 11.50%, 10/15/13 (d) (l) 125 92
Lodgenet Entertainment Corp., 9.50%, 06/15/13 300 332
Mediacom Broadband LLC, 11.00%, 07/15/13 135 145
Mediacom Capital Corp., 9.50%, 01/15/13 25 25
Nexstar Finance Holdings LLC Inc.,
(Step-Up Bond), 11.375%, 04/01/13 (d) 125 99
Nextmedia Operating Inc., 10.75%, 07/01/11 200 224
Radio One Inc., 8.875%, 07/01/11 150 163
4,469
Metal Fabrication & Hardware - 0.1%
Mueller Group Inc., 10.00%, 05/01/12 150 164
Mueller Holdings Inc., (Step-Up Bond), 14.75%,
04/15/14 (d) 50 34
198
Mining - 0.4%
WMC Finance USA, 5.125%, 05/15/13 800 798
Office Furnishings - 0.1%
Interface Inc.
7.30%, 04/01/08 125 128
9.50%, 02/01/14 50 54
Tempur-Pedic Inc., 10.25%, 08/15/10 130 150
332
Oil & Gas Producers - 2.0%
Devon Financing Corp. ULC, 6.875%, 09/30/11 650 736
Forest Oil Corp., 8.00%, 12/15/11 250 286
Magnum Hunter Resources Inc., 9.60%, 03/15/12 195 221
Nexen Inc., 5.05%, 11/20/13 (l) 700 695
Petroleos Mexicanos, 9.50%, 09/15/27 450 565
Petronas Capital Ltd., 7.00%, 05/22/12 (e) 275 315
Precision Drilling Corp., 5.625%, 06/01/14 675 703
Stone Energy Corp., 8.25%, 12/15/11 175 189
Swift Energy Co., 9.375%, 05/01/12 50 56
Valero Energy Corp., 4.75%, 06/15/13 735 726
Vintage Petroleum Inc., 7.875%, 05/15/11 (l) 175 186
4,678
Oil & Gas Services - 0.2%
Hanover Compressor Co, 11.59%, 03/31/07 (k) 175 153
Key Energy Services Inc., 8.375%, 03/01/08 175 183
336
Packaging & Containers - 0.6%
Anchor Glass Container Corp., 11.00%, 02/15/13 150 160
Berry Plastics Corp., 10.75%, 07/15/12 250 286
Jefferson Smurfit-Stone Container Corp., 8.25%, 10/01/12 100 109
Plastipak Holdings Inc., 10.75%, 09/01/11 310 349
Pliant Corp., 11.125%, 09/01/09 100 109
Radnor Holdings Corp., 11.00%, 03/15/10 225 193
Tekni-Plex Inc., 8.75%, 11/15/13 (e) (l) 225 224
1,430
Pharmaceuticals - 0.7%
aaiPharma Inc., 11.50%, 04/01/10 (l) 175 130
American Home Products Corp., 6.95%, 03/15/11 675 760
Vicar Operating Inc., 9.875%, 12/01/09 175 192
Wyeth, 5.50%, 03/15/13 600 624
1,706
Pipelines - 0.7%
Dynegy Holdings Inc.
9.875%, 07/15/10 (e) 100 112
7.625%, 10/15/26 450 390
El Paso Corp.
7.875%, 06/15/12 (l) 100 105
7.80%, 08/01/31 75 71
7.75%, 01/15/32 (l) 375 359
Williams Cos. Inc.
7.125%, 09/01/11 50 55
7.625%, 07/15/19 75 83
7.875%, 09/01/21 100 112
8.75%, 03/15/32 250 287
1,574
Real Estate - 0.8%
Boston Properties Inc., 6.25%, 01/15/13 (f) 700 759
EOP Operating LP, 7.50%, 04/19/29 (f) 575 667
Felcor Lodging LP, 10.00%, 09/15/08 5 5
Host Marriott Corp., 7.875%, 08/01/08 76 78
Host Marriott LP, 9.50%, 01/15/07 75 82
Meristar Hospitality Corp., 9.125%, 01/15/11 75 81
MeriStar Hospitality Operating Partnership LP,
10.50%, 06/15/09 100 109
1,781
Retail - 0.9%
Eye Care Centers of America, 9.125%, 05/01/08 225 225
Finlay Fine Jewelry Corp., 8.375%, 06/01/12 175 189
Friendly Ice Cream Corp., 8.375%, 06/15/12 (l) 100 98
Home Interiors & Gifts Inc., 10.125%, 06/01/08 (l) 300 248
Jafra Cosmetics International Inc., 10.75%, 05/15/11 200 226
Jean Coutu Group Inc., 8.50%, 08/01/14 (e) (l) 125 128
Ltd. Brands, 6.95%, 03/01/33 (l) 475 517
Petco Animal Supplies Inc., 10.75%, 11/01/11 150 176
Rite Aid Corp., 11.25%, 07/01/08 (l) 125 135
Sbarro Inc., 11.00%, 09/15/09 (l) 175 177
VICORP Restaurants Inc., 10.50%, 04/15/11 125 125
2,244
Savings & Loans - 0.2%
Independence Community Bank Corp., 3.50%, 06/20/13 475 458
Semiconductors - 0.1%
Amkor Technology Inc., 7.125%, 03/15/11 (l) 350 329
Sovereign - 2.5%
Republic of South Africa, 6.50%, 06/02/14 400 438
Republic of Venezuela
10.75%, 09/19/13 1,175 1,407
8.50%, 10/08/14 575 610
Swedish Government, 4.00%, 12/01/09 SEK 20,100 3,115
Ukraine, 7.65%, 06/11/13 200 214
Ukraine Government International Bond, 6.875%, 03/04/11 225 230
6,014
Telecommunications - 1.0%
Insight Midwest Capital Inc., 10.50%, 11/01/10 200 219
PanAmSat Corp., 9.00%, 08/15/14 (e) 100 112
Qwest Corp., 9.125%, 03/15/12 (e) 75 87
Qwest Services Corp.
14.00%, 12/15/10 (e) 200 241
14.50%, 12/15/14 (e) 275 348
Sprint Capital Corp., 6.90%, 05/01/19 (f) 650 727
Telecom Italia Capital SA, 4.00%, 01/15/10 (e) 725 710
2,444
Telecommunications Equipment - 0.2%
Lucent Technologies Inc., 6.45%, 03/15/29 (l) 475 430
Transportation - 0.3%
Holt Group Inc., 9.75%, 01/15/06 (i) 200 -
OMI Corp., 7.625%, 12/01/13 175 187
Union Pacific Corp., 3.625%, 06/01/10 (l) 550 529
716
Water - 0.3%
United Utilities Plc, 4.55%, 06/19/18 700 641
Wireless Telecommunications - 1.0%
American Tower Corp., 7.50%, 05/01/12 (l) 125 131
American Tower Escrow Corp., 11.46%, 08/01/08 (k) 145 108
AT&T Wireless Services Inc., 8.75%, 03/01/31 325 438
Centennial Cellular Operating Co., 10.125%, 06/15/13 200 225
Crown Castle International Corp.
9.375%, 08/01/11 15 17
10.75%, 08/01/11 225 244
7.50%, 12/01/13 75 80
Nextel Communications Inc.
6.875%, 10/31/13 100 109
7.375%, 08/01/15 450 495
SBA Telecommunications Inc.,
(Step-Up Bond), 9.75%, 12/15/11 (d) 250 211
Spectrasite Inc., 8.25%, 05/15/10 100 107
US Unwired Inc., 10.00%, 06/15/12 (l) 175 197
Western Wireless Corp., 9.25%, 07/15/13 75 82
2,444
Total Corporate Bonds (cost $81,078) 83,376
Government Securities - 55.3%
Asset Backed Securities - 0.1%
First Union National Bank Commercial Mortgage -
Interest Only, 0.53%, 05/17/32 11,785 348
Sovereign - 22.7%
Finnish Government Bond, 5.75%, 02/23/11 EUR 1,200 1,858
Kingdom of Morocco, 2.69%, 01/02/09 611 600
Malaysia Government International Bond, 7.50%, 07/15/11 475 555
Mexico Government International Bond
5.875%, 01/15/14 1,574 1,613
6.625%, 03/03/15 1,525 1,638
8.125%, 12/30/19 400 469
Netherlands Government Bond, 5.00%, 07/15/11 EUR 3,600 5,390
Region of Lombardy, 5.804%, 10/25/32 750 797
Republic of Argentina
3.50%, 03/31/23 (g) (i) 500 280
6.00%, 03/31/23 (i) 1,200 681
Republic of Brazil
3.125%, 04/15/12 2,510 2,391
8.00%, 04/15/14 2,245 2,297
10.50%, 07/14/14 2,375 2,814
10.125%, 05/15/27 1,265 1,440
12.25%, 03/06/30 610 805
11.00%, 08/17/40 675 801
Republic of Bulgaria, 8.25%, 01/15/15 275 344
Republic of Colombia
10.00%, 01/23/12 375 433
10.75%, 01/15/13 350 418
8.125%, 05/21/24 250 243
8.375%, 02/15/27 225 218
10.375%, 01/28/33 475 549
Republic of Ecuador
12.00%, 11/15/12 1,250 1,275
9.00%, 08/15/30 (h) 300 259
Republic of Germany
4.25%, 02/15/08 EUR 2,700 3,831
5.25%, 01/04/11 (f) EUR 2,600 3,921
Republic of Panama
9.625%, 02/08/11 355 419
9.375%, 01/16/23 365 422
Republic of Peru
9.125%, 02/21/12 800 932
9.875%, 02/06/15 190 233
4.50%, 03/07/17 (h) 425 397
5.00%, 03/07/17 (h) 330 315
Republic of Philippines
8.375%, 03/12/09 800 840
10.625%, 03/16/25 925 987
Republic of Turkey
9.00%, 06/30/11 400 457
11.50%, 01/23/12 425 546
11.00%, 01/14/13 800 1,018
11.875%, 01/15/30 225 324
Republic of Venezuela
5.375%, 08/07/10 850 788
9.25%, 09/15/27 100 106
Russian Federation
11.00%, 07/24/18 1,300 1,818
5.00%, 03/31/30 (h) 6,395 6,615
United Mexican States
6.375%, 01/16/13 1,025 1,092
8.30%, 08/15/31 375 440
53,669
U.S. Government Agencies - 23.7%
Federal Home Loan Mortgage Corp.
5.00%, TBA (c) 11,500 11,430
6.50%, TBA (c) 2,000 2,098
Interest Only, 1156.50%, 06/15/21 - -
Federal National Mortgage Association
4.50%, TBA (c) 7,000 6,772
5.00%, TBA (c) 9,125 9,060
5.50%, TBA (c) 20,500 20,827
6.00%, TBA (c) 3,000 3,103
6.50%, TBA (c) 2,000 2,097
10.40%, 04/25/19 6 7
6.50%, 02/01/26 13 14
7.50%, 08/01/29 22 24
8.00%, 08/01/29 4 4
7.50%, 09/01/29 53 57
7.50%, 03/01/30 14 15
8.00%, 04/01/30 22 24
7.50%, 05/01/30 10 11
7.50%, 06/01/30 22 24
7.50%, 07/01/30 28 30
8.00%, 07/01/30 2 2
8.00%, 08/01/30 13 14
7.50%, 09/01/30 9 9
8.00%, 10/01/30 160 173
7.50%, 11/01/30 10 10
7.50%, 12/01/30 11 12
7.50%, 01/01/31 20 21
8.00%, 01/01/31 59 65
7.50%, 02/01/31 107 115
8.00%, 02/01/31 6 7
7.50%, 03/01/31 18 19
56,044
U.S. Treasury Securities - 8.8%
U.S. Treasury Bond
6.125%, 11/15/27 (l) 100 117
5.50%, 08/15/28 (l) 70 76
5.25%, 11/15/28 (l) 1,500 1,572
5.25%, 02/15/29 (l) 500 524
6.125%, 08/15/29 (l) 1,500 1,761
5.375%, 02/15/31 (l) 750 811
U.S. Treasury Note
3.125%, 04/15/09 (l) 10,500 10,341
4.00%, 02/15/14 (l) 2,350 2,318
4.25%, 08/15/14 (l) 3,130 3,137
20,657
Total Government Securities (cost $125,335) 130,718
Short Term Investments - 50.5%
Commercial Paper - 23.3%
Chariot Funding LLC, 2.34%, 01/13/05 (f) 5,705 5,700
Chesham Finance LLC, 2.35%, 01/13/05 (f) 5,705 5,700
DaimlerChrysler NA Holdings Inc., 2.46%, 01/13/05 (f) 2,850 2,848
Four Winds Funding Corp., 2.46%, 01/13/05 (f) 2,850 2,848
Galleon Capital LLC, 2.34%, 01/12/05 (f) 5,705 5,701
Hannover Funding Co. LLC, 2.36%, 01/13/05 (f) 5,705 5,701
Lake Constance Funding LLC, 2.33%, 01/12/05 (f) 5,182 5,178
Market Street Funding, 2.34%, 01/13/05 (f) 5,705 5,701
Mica Funding LLC, 2.35%, 01/12/05 (f) 5,705 5,701
Surrey Funding Corp., 2.33%, 01/13/05 (f) 3,309 3,306
Tasman Funding Inc., 2.35%, 01/13/05 (f) 5,000 4,995
Thames Asset Global Securities, 2.36%, 01/13/05 (f) 1,779 1,778
55,157
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.98% (a) 1 1
Repurchase Agreement - 7.7%
Repurchase Agreement with Merrill Lynch, 2.20%,
(Collateralized by $18,535 Federal Home Loan Bank,
1.625%, due 06/15/05, market value $18,452) acquired
on 12/31/04, due 01/03/05 at $18,102 $18,102 18,102
Securities Lending Collateral - 19.5%
Mellon GSL Delaware Business Trust Collateral Fund 46,078 46,078
Total Short Term Investments (cost $119,338) 119,338
Total Investments - 141.7% (cost $327,144) 335,241
Other Assets and Liabilities, Net - (41.7%) (98,527)
Total Net Assets - 100% $ 236,714
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Percentage of Total
Industry Sector Investments (o)
Government 48.7%
Mortgage Securities 31.9%
Financial 18.7%
Asset Backed Securities 0.7%
100.0%
Corporate Bonds - 4.0%
Asset Backed Securities - 4.0%
Commercial Mortgage Acceptance Corp.,
5.447%, 07/16/34 (e) $5,812 $ 6,040
Green Tree Financial Corp., 7.07%, 01/15/29 790 839
Metris Master Trust, 2.71%, 08/20/08 (e) (g) 1,000 1,000
Total Corporate Bonds (cost $7,756) 7,879
Government Securities - 84.8%
U.S. Government Agencies - 41.6%
Federal Home Loan Mortgage Corp.
4.50%, TBA (c) 1,000 997
5.00%, TBA (c) 9,500 9,443
6.00%, TBA (c) 3,000 3,100
5.80%, 09/02/08 (l) 3,500 3,749
6.00%, 09/01/10 - -
7.00%, 07/01/11 6 6
6.50%, 08/01/13 45 48
8.25%, 04/01/17 4 4
8.00%, 07/01/20 92 99
Interest Only, 5.50%, 01/15/23 10,455 795
6.00%, 11/01/28 707 733
7.00%, 04/01/29 177 187
8.00%, 09/01/31 792 858
7.00%, 10/01/31 11 12
7.00%, 11/01/31 28 30
7.00%, 02/01/32 277 293
7.00%, 03/01/32 263 278
7.00%, 04/01/32 252 268
4.50%, 04/15/32 201 192
7.00%, 06/01/32 37 40
7.00%, 08/01/32 13 14
5.00%, 08/01/33 2,379 2,368
Federal National Mortgage Association
5.00%, TBA (c) 7,000 6,950
5.50%, TBA (c) 30,000 30,534
6.00%, TBA (c) 3,000 3,103
6.50%, TBA (c) 8,000 8,387
3.68%, 02/17/09 (l) 2,000 2,018
12.50%, 09/20/15 2 2
12.00%, 01/01/16 98 110
12.00%, 01/15/16 3 3
12.50%, 01/15/16 45 52
5.00%, 02/01/19 1,343 1,365
11.50%, 09/01/19 - 1
10.50%, 08/01/20 9 10
6.50%, 03/01/26 18 19
7.00%, 05/01/26 20 21
7.00%, 11/01/28 21 22
7.00%, 12/01/28 16 17
78.31%, 12/28/28 (g) 11 11
7.00%, 03/01/29 71 75
8.00%, 07/01/29 2 2
8.00%, 11/01/29 34 37
8.00%, 12/01/29 59 64
7.00%, 01/01/30 83 88
8.00%, 01/01/30 82 89
8.00%, 02/01/30 13 14
8.00%, 05/01/30 5 6
6.527%, 05/25/30 1,674 1,752
8.00%, 09/01/30 6 6
8.00%, 10/01/30 67 73
8.00%, 11/01/30 3 3
8.00%, 01/01/31 175 190
7.50%, 02/01/31 169 181
8.00%, 02/01/31 88 95
8.00%, 03/01/31 101 110
8.00%, 04/01/31 4 4
6.00%, 01/01/33 3,254 3,369
Government National Mortgage Association,
13.50%, 07/15/10 63 72
82,369
U.S. Treasury Securities - 43.2%
U.S. Treasury Bond
6.625%, 02/15/27 (f) 2,350 2,897
6.375%, 08/15/27 (f) 1,000 1,200
5.25%, 02/15/29 (f) 2,000 2,098
6.125%, 08/15/29 (f) 1,250 1,468
5.375%, 02/15/31 (f) (m) 17,000 18,383
U.S. Treasury Note
5.75%, 11/15/05 (f) 8,500 8,718
2.875%, 11/30/06 11,000 10,966
3.375%, 11/15/08 1,300 1,296
3.125%, 04/15/09 (f) 3,000 2,955
3.50%, 11/15/09 (l) 20,000 19,906
4.875%, 02/15/12 (f) 10,000 10,570
4.25%, 08/15/14 (l) 5,000 5,010
85,467
Total Government Securities (cost $165,037) 167,836
Short Term Investments - 56.9%
Commercial Paper - 20.2%
Beethoven Funding Corp., 2.33%, 01/12/05 (f) 5,318 5,314
Chariot Funding LLC, 2.34%, 01/13/05 (f) 5,380 5,376
DaimlerChrysler NA Holdings Inc., 2.46%, 01/13/05 (f) 2,685 2,683
Four Winds Funding Corp., 2.46%, 01/13/05 (f) 2,685 2,683
Galleon Capital LLC, 2.34%, 01/12/05 (f) 5,380 5,376
Hannover Funding Co. LLC, 2.36%, 01/13/05 (f) 5,380 5,376
Market Street Funding, 2.34%, 01/13/05 (f) 4,170 4,167
Mica Funding LLC, 2.35%, 01/12/05 (f) 5,380 5,376
Surrey Funding Corp., 2.33%, 01/13/05 (f) 3,575 3,572
39,923
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.98% (a) - -
Repurchase Agreement - 4.3%
Repurchase Agreement with UBS Securities LLC,
2.15%, (Collateralized by $8,134 Federal Home Loan Mortgage
Corporation, 5.50%, due 07/15/06, market value $8,612)
acquired on 12/31/04, due 01/03/05 at $8,442 8,442 8,442
Securities Lending Collateral - 14.8%
Mellon GSL Delaware Business Trust Collateral Fund 29,278 29,278
U.S. Government Agencies - 12.6%
Federal Home Loan Bank Discount Note,
1.90%, 01/05/05 $25,000 24,994
U.S. Treasury Bills - 5.0%
U.S. Treasury Bill, 1.80%, 01/13/05 10,000 9,995
Total Short Term Investments (cost $112,632) 112,632
Total Investments - 145.7% (cost $285,425) 288,347
Other Assets and Liabilities, Net - (45.7%) (90,471)
Total Net Assets - 100% $ 197,876
JNL/SELECT BALANCED FUND
Percentage of Total
Industry Sector Investments (o)
Financial 16.7%
Mortgage Securities 14.1%
Consumer, Non-cyclical 11.6%
Government 10.5%
Energy 9.4%
Industrial 8.6%
Basic Materials 7.5%
Communications 7.3%
Technology 4.3%
Consumer, Cyclical 3.8%
Utilities 3.2%
Asset Backed Securities 2.3%
Money Market Investment 0.7%
100.0%
Common Stocks - 64.8%
Aerospace & Defense - 1.4%
General Dynamics Corp. 33 $ 3,400
United Technologies Corp. 18 1,880
5,280
Auto Parts & Equipment - 0.3%
Delphi Corp. 134 1,208
Banks - 3.0%
Bank of America Corp. 121 5,682
State Street Corp. 21 1,051
Synovus Financial Corp. 95 2,709
Zions Bancorp. 29 1,986
11,428
Beverages - 1.2%
Coca-Cola Co. 62 2,581
Coca-Cola Enterprises Inc. 90 1,877
4,458
Chemicals - 2.9%
E.I. du Pont de Nemours & Co. 124 6,072
Potash Corp. 30 2,475
Rohm & Haas Co. 57 2,539
11,086
Computers - 1.6%
International Business Machines Corp. 61 6,033
Cosmetics & Personal Care - 0.9%
Colgate-Palmolive Co. 50 2,558
Gillette Co. 22 967
3,525
Diversified Financial Services - 5.5%
Citigroup Inc. 167 8,036
Franklin Resources Inc. 30 2,076
Freddie Mac 51 3,766
JPMorgan Chase & Co. 64 2,477
MBNA Corp. 74 2,086
Merrill Lynch & Co. Inc. 42 2,523
20,964
Electric - 3.2%
Dominion Resources Inc. 19 1,267
Exelon Corp. 102 4,504
Pinnacle West Capital Corp. 50 2,220
PPL Corp. 36 1,907
Progress Energy Inc. 51 2,285
12,183
Electrical Components & Equipment - 0.7%
Emerson Electric Co. 36 2,489
Environmental Control - 1.0%
Waste Management Inc. 122 3,644
Food - 0.7%
General Mills Inc. 52 2,595
Forest Products & Paper - 2.2%
International Paper Co. 61 2,579
Weyerhaeuser Co. 84 5,673
8,252
Healthcare - 0.4%
Baxter International Inc. 49 1,699
Home Furnishings - 0.6%
Whirlpool Corp. 34 2,367
Household Products - 1.4%
Avery Dennison Corp. 41 2,471
Kimberly-Clark Corp. 42 2,784
5,255
Insurance - 3.8%
ACE Ltd. 90 3,865
American International Group Inc. 50 3,297
Hartford Financial Services Group Inc. 71 4,886
Marsh & McLennan Cos. Inc. 37 1,207
Prudential Financial Inc. 24 1,297
14,552
Machinery - 1.1%
Caterpillar Inc. 31 3,062
Deere & Co. 17 1,242
4,304
Manufacturing - 1.8%
General Electric Capital Corp. 82 3,000
Parker Hannifin Corp. 52 3,908
6,908
Media - 2.3%
Comcast Corp. - Class A (b) 89 2,952
Gannett Co. Inc. 34 2,810
Time Warner Inc. (b) 154 2,984
8,746
Mining - 2.1%
Alcoa Inc. 110 3,469
Cameco Corp. (b) 14 1,468
Rio Tinto Plc 27 3,171
8,108
Office & Business Equipment - 0.6%
Pitney Bowes Inc. 52 2,420
Oil & Gas Producers - 8.4%
Apache Corp. 53 2,680
BP Plc - ADR 87 5,104
ChevronTexaco Corp. 104 5,435
EnCana Corp. 87 4,975
Exxon Mobil Corp. 174 8,935
Total SA - ADR 44 4,822
31,951
Oil & Gas Services - 0.7%
Schlumberger Ltd. 38 2,537
Pharmaceuticals - 5.3%
Abbott Laboratories 119 5,570
AmerisourceBergen Corp. 39 2,259
Eli Lilly & Co. 50 2,820
Novartis AG - ADR 35 1,769
Pfizer Inc. 59 1,597
Schering-Plough Corp. 179 3,738
Wyeth 60 2,556
20,309
Retail - 2.5%
Family Dollar Stores Inc. 70 2,183
McDonald's Corp. 113 3,616
TJX Cos. Inc. 97 2,438
Yum! Brands Inc. 25 1,167
9,404
Semiconductors - 1.1%
Broadcom Corp. (b) 58 1,879
Texas Instruments Inc. 100 2,472
4,351
Software - 0.8%
Microsoft Corp. 110 2,925
Telecommunications - 3.1%
BellSouth Corp. 61 1,706
SBC Communications Inc. 134 3,443
Sprint Corp. - FON Group 54 1,332
Verizon Communications Inc. 131 5,287
11,768
Tobacco - 1.0%
Altria Group Inc. 63 3,844
Transportation - 2.6%
Canadian Pacific Railway Ltd. (l) 23 801
CSX Corp. 98 3,908
Union Pacific Corp. 78 5,219
9,928
Wireless Telecommunications - 0.6%
Motorola Inc. 127 2,182
Total Common Stocks (cost $222,356) 246,703
Corporate Bonds - 12.0%
Aerospace & Defense - 0.0%
Raytheon Co, 6.75%, 08/15/07 $146 157
Asset Backed Securities - 4.5%
AmeriCredit Automobile Receivables Trust
4.46%, 04/12/09 570 577
3.10%, 11/06/09 500 499
Bank of America Commercial Mortgage
5.676%, 06/11/35 500 525
5.464%, 04/11/37 (g) 500 529
5.118%, 07/11/43 750 776
Bank One Issuance Trust, 4.77%, 02/16/16 500 489
BMW Vehicle Owner Trust, 3.52%, 10/25/10 1,000 997
Capital One Master Trust, 4.50%, 06/15/11 500 508
Capital One Multi-Asset Execution Trust, 3.40%, 11/16/09 480 476
Commercial Mortgage Acceptance Corp.,
7.629%, 06/15/31 (g) 500 567
CS First Boston Mortgage Securities Corp.,
6.133%, 04/15/37 500 546
Discover Card Master Trust I, 3.45%, 04/16/09 1,000 998
GE Capital Commercial Mortgage Corp.,
6.03%, 08/11/33 (g) 1,000 1,062
Harley-Davidson Motorcycle Trust
1.89%, 02/15/11 538 526
2.00%, 11/15/11 347 339
JPMorgan Commercial Mortgage Finance Corp.
6.613%, 01/15/30 1,000 1,068
6.507%, 10/15/35 (g) 1,000 1,085
MBNA Credit Master Note Trust, 6.55%, 12/15/08 500 522
MBNA Master Credit Card Trust USA, 6.65%, 08/15/11 (e) 500 542
Midland Realty Acceptance Corp., 7.636%, 01/25/29 500 537
Morgan Stanley Dean Witter Capital, 5.98%, 01/15/39 560 609
PNC Mortgage Acceptance Corp., 6.36%, 03/12/34 1,000 1,102
Standard Credit Card Master Trust, 7.50%, 04/07/08 1,000 1,049
WFS Financial Owner Trust, 2.73%, 05/20/11 619 613
World Omni Auto Receivables Trust, 2.20%, 01/15/08 500 495
17,036
Auto Manufacturers - 0.3%
DaimlerChrysler NA Holding Corp., 4.75%, 01/15/08 500 511
General Motors Corp., 7.20%, 01/15/11 (l) 510 523
1,034
Banks - 1.0%
Bank of America Corp., 7.40%, 01/15/11 750 869
HSBC Bank USA NA, 5.875%, 11/01/34 250 253
HSBC Holdings Plc, 7.35%, 11/27/32 (e) 500 601
Popular North America Inc., 3.875%, 10/01/08 500 499
US Bank NA, 4.95%, 10/30/14 450 452
Wachovia Corp.
3.625%, 02/17/09 750 742
5.25%, 08/01/14 500 512
3,928
Beverages - 0.3%
Diageo Capital Plc, 3.50%, 11/19/07 1,000 997
Commercial Services - 0.3%
Aramark Services Inc., 7.00%, 07/15/06 1,000 1,047
Computers - 0.1%
Hewlett-Packard Co., 5.50%, 07/01/07 500 521
Cosmetics & Personal Care - 0.1%
Procter & Gamble Co., 5.80%, 08/15/34 500 529
Diversified Financial Services - 1.9%
Boeing Capital Corp., 6.50%, 02/15/12 500 560
CIT Group Inc., 7.375%, 04/02/07 500 540
Citigroup Inc.
3.50%, 02/01/08 250 250
6.00%, 02/21/12 (l) 500 547
General Electric Capital Corp.
5.875%, 02/15/12 1,000 1,082
6.75%, 03/15/32 500 585
General Motors Acceptance Corp., 6.75%, 12/01/14 (l) 330 330
Household Finance Corp., 6.375%, 11/27/12 500 553
JPMorgan Chase & Co.
6.625%, 03/15/12 (l) 500 560
5.125%, 09/15/14 500 503
Lehman Brothers Holdings Inc., 6.625%, 01/18/12 300 335
Merrill Lynch & Co. Inc., 4.50%, 11/04/10 (l) 750 755
Morgan Stanley Dean Witter & Co., 5.80%, 04/01/07 500 524
7,124
Forest Products & Paper - 0.1%
Weyerhaeuser Co., 7.125%, 07/15/23 350 396
Insurance - 1.4%
Ace Capital Trust II, 9.70%, 04/01/30 525 698
Ace INA Holdings Inc., 5.875%, 06/15/14 600 614
ASIF Global Financing Corp., 4.90%, 01/17/13 (e) 500 509
AXA, 8.60%, 12/15/30 775 1,018
Hartford Life Inc., 7.375%, 03/01/31 700 836
Liberty Mutual Insurance, 7.875%, 10/15/26 (e) 475 534
Marsh & McLennan Cos. Inc., 5.375%, 07/15/14 675 660
Metlife Inc., 6.50%, 12/15/32 350 381
5,250
Investment Companies - 0.1%
Credit Suisse First Boston USA Inc., 4.875%, 01/15/15 345 341
Media - 0.5%
Comcast Cable Communications, 7.125%, 06/15/13 (l) 500 579
Comcast Corp., 5.85%, 01/15/10 200 215
Cox Communication Inc., 5.45%, 12/15/14 (e) (l) 500 500
Viacom Inc., 7.70%, 07/30/10 225 263
Walt Disney Co, 5.375%, 06/01/07 400 416
1,973
Mining - 0.1%
Corp. Nacional del Cobre de Chile, 5.50%, 10/15/13 (e) 500 521
Oil & Gas Producers - 0.3%
ConocoPhillips, 3.625%, 10/15/07 500 500
Valero Energy Corp., 6.875%, 04/15/12 (l) 675 766
1,266
Retail - 0.1%
Target Corp., 5.375%, 06/15/09 (l) 500 529
Telecommunications - 0.5%
Sprint Capital Corp.
6.125%, 11/15/08 125 134
8.375%, 03/15/12 450 548
Verizon Global Funding Corp.
6.125%, 06/15/07 (l) 500 530
7.75%, 12/01/30 500 621
1,833
Wireless Telecommunications - 0.4%
AT&T Wireless Services Inc., 7.875%, 03/01/11 750 884
Vodafone Group Plc, 5.375%, 01/30/15 500 520
1,404
Total Corporate Bonds (cost $45,539) 45,886
Government Securities - 21.0%
U.S. Government Agencies - 11.9%
Federal Home Loan Mortgage Corp.
5.50%, 10/01/16 550 569
6.00%, 04/01/17 391 409
6.50%, 11/01/17 171 181
5.00%, 01/01/18 175 178
5.50%, 01/01/18 2 2
5.00%, 04/01/18 220 223
4.50%, 05/01/18 233 232
5.00%, 05/01/18 335 340
4.50%, 09/01/18 259 259
4.50%, 11/01/18 525 525
5.50%, 11/01/18 229 237
5.50%, 01/01/19 659 681
4.50%, 03/01/19 1,701 1,697
5.50%, 08/01/19 698 721
7.00%, 11/01/30 397 421
7.00%, 02/01/31 136 144
7.00%, 06/01/31 130 138
7.00%, 10/01/32 343 363
5.50%, 03/01/33 1,255 1,276
4.50%, 06/01/33 232 224
5.50%, 06/01/33 306 312
5.00%, 08/01/33 1,469 1,461
6.50%, 09/01/33 205 215
6.00%, 10/01/33 1,982 2,049
5.00%, 05/01/34 1,499 1,489
5.50%, 05/01/34 191 194
5.00%, 09/01/34 562 559
Federal National Mortgage Association
6.00%, 09/01/17 451 473
5.00%, 10/01/17 406 413
5.00%, 11/01/17 182 185
6.00%, 01/01/18 83 87
5.00%, 02/01/18 792 806
4.50%, 07/01/18 1,725 1,724
5.00%, 12/01/18 1,094 1,112
6.50%, 08/01/28 38 40
6.50%, 11/01/28 80 84
6.50%, 12/01/28 48 50
6.00%, 03/01/29 426 441
7.50%, 09/01/29 143 154
6.50%, 01/01/32 757 795
6.50%, 07/01/32 892 937
6.50%, 09/01/32 1,003 1,054
6.00%, 10/01/32 469 485
6.50%, 03/01/33 394 414
5.00%, 09/01/33 3,967 3,944
7.00%, 10/01/33 1,277 1,353
4.50%, 11/01/33 272 263
5.50%, 11/01/33 2,079 2,112
4.50%, 12/01/33 495 479
5.50%, 12/01/33 1,127 1,145
6.00%, 12/01/33 248 257
5.50%, 03/01/34 738 750
5.00%, 04/01/34 1,121 1,112
5.50%, 04/01/34 2,649 2,692
5.50%, 05/01/34 243 247
6.00%, 06/01/34 545 564
Government National Mortgage Association
6.50%, 04/15/26 130 137
7.00%, 06/15/28 89 95
7.50%, 04/15/29 66 72
7.00%, 07/15/29 83 89
5.50%, 11/15/32 391 400
6.00%, 11/15/32 254 264
6.00%, 03/15/33 152 157
5.50%, 05/15/33 303 310
5.00%, 10/15/33 495 495
5.00%, 05/15/34 2,500 2,503
Government National Mortgage Association II
5.50%, 05/20/33 466 476
5.00%, 06/20/33 202 202
6.00%, 10/20/33 491 508
6.00%, 04/15/34 275 285
45,264
U.S. Treasury Securities - 9.1%
U.S. Treasury Bond, 5.375%, 02/15/31 (l) 4,850 5,243
U.S. Treasury Note
1.50%, 03/31/06 (l) 20,850 20,510
2.375%, 08/15/06 (l) 9,117 9,030
34,783
Total Government Securities (cost $79,771) 80,047
Short Term Investments - 12.0%
Money Market Funds - 0.7%
Dreyfus Cash Management Plus, 1.98% (a) 2,818 2,818
Securities Lending Collateral - 10.0%
Mellon GSL Delaware Business Trust Collateral Fund 38,021 38,021
U.S. Government Agencies - 1.3%
Federal National Mortgage Association Discount Note,
2.28%, 02/01/05 $5,000 4,991
Total Short Term Investments (cost $45,830) 45,830
Total Investments - 109.8% (cost $393,496) 418,466
Other Assets and Liabilities, Net - (9.8%) (37,128)
Total Net Assets - 100% $ 381,338
JNL/SELECT GLOBAL GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 24.2%
Communications 21.8%
Consumer, Cyclical 16.2%
Technology 12.4%
Financial 12.0%
Industrial 11.1%
Energy 1.2%
Money Market Investment 1.1%
100.0%
Common Stocks - 99.0%
Advertising - 0.9%
JC Decaux SA (b) 65 $ 1,890
Aerospace & Defense - 2.0%
European Aeronautic Defense and Space Co. 78 2,271
Rolls-Royce Group Plc 14,845 27
Rolls-Royce Group Plc (b) 454 2,155
4,453
Apparel - 1.1%
Adidas-Salomon AG 14 2,308
Auto Manufacturers - 0.5%
Kia Motors Corp. (b) 96 1,010
Banks - 7.8%
Banca Intesa SpA 195 936
Banco Bilbao Vizcaya Argentaria SA 132 2,349
Bank of America Corp. 47 2,199
Bank of Yokohama Ltd. 171 1,078
Bayerische Hypo-und Vereinsbank AG (b) 162 3,668
Standard Chartered Plc 227 4,213
UFJ Holdings Inc. (b) - 2,630
17,073
Beverages - 1.0%
Pernod-Ricard 14 2,175
Commercial Services - 3.8%
Apollo Group Inc. (b) 33 2,623
Autostrade SpA 83 2,223
Capita Group Plc 497 3,486
8,332
Computers - 7.3%
Apple Computer Inc. (b) 84 5,415
Computer Sciences Corp. (b) 39 2,210
Dell Inc. (b) 104 4,370
Research In Motion Ltd. (b) 48 3,940
15,935
Cosmetics & Personal Care - 1.1%
Gillette Co. 55 2,481
Distribution & Wholesale - 1.6%
Esprit Holdings Ltd. 572 3,456
Diversified Financial Services - 2.3%
Citigroup Inc. 14 689
Goldman Sachs Group Inc. 25 2,549
Man Group Plc 62 1,748
4,986
Entertainment - 1.8%
EMI Group Plc 756 3,845
Food - 1.6%
Koninklijke Ahold NV (b) 175 1,358
Royal Numico NV (b) 58 2,092
3,450
Healthcare - 1.1%
WellPoint Inc. (b) 20 2,312
Insurance - 1.9%
Allianz AG 31 4,046
Internet - 6.6%
eBay Inc. (b) 27 3,104
Monster Worldwide Inc. (b) 95 3,196
Trend Micro Inc. (b) 71 3,832
Yahoo! Inc. (b) (l) 116 4,360
14,492
Leisure Time - 0.9%
Carnival Plc 31 1,905
Lodging - 0.6%
Intercontinental Hotels Group Plc. 112 1,386
Manufacturing - 7.6%
Danaher Corp. 52 2,956
General Electric Capital Corp. 138 5,052
Ingersoll-Rand Co. - Class A 29 2,329
Parker Hannifin Corp. 38 2,893
Tyco International Ltd. 95 3,399
16,629
Media - 5.0%
Grupo Televisa SA - ADR 38 2,305
Vivendi Universal SA (b) 102 3,263
XM Satellite Radio Holdings Inc. - Class A (b) 141 5,312
10,880
Metal Fabrication & Hardware - 0.6%
Assa Abloy AB - Class B 70 1,204
Oil & Gas Producers - 1.2%
CNOOC Ltd. 3,201 1,720
OAO Gazprom 24 859
2,579
Pharmaceuticals - 14.0%
Abbott Laboratories 59 2,734
Elan Corp. Plc - ADR (b) 416 11,333
Forest Laboratories Inc. (b) 107 4,782
Gilead Sciences Inc. (b) 53 1,851
IVAX Corp. (b) 216 3,418
Schering AG 26 1,978
Schering-Plough Corp. 211 4,412
30,508
Retail - 9.8%
Best Buy Co. Inc. 66 3,898
Carphone Warehouse Group Plc 1,133 3,737
GUS Plc 159 2,859
Home Depot Inc. 77 3,304
Staples Inc. 105 3,523
Starbucks Corp. (b) 64 3,996
21,317
Software - 5.1%
Electronic Arts Inc. (b) 29 1,801
Infosys Technologies Ltd. - ADR (l) 36 2,509
Microsoft Corp. 116 3,095
Pixar Inc. (b) 43 3,647
11,052
Telecommunications - 1.5%
Amdocs Ltd. (b) 32 835
PT Telekomunikasi Indonesia ADR 55 1,165
Societe Europeenne des Satellites 101 1,303
3,303
Telecommunications Equipment - 2.9%
Alcatel SA (b) 327 5,084
Cisco Systems Inc. (b) 67 1,285
6,369
Tobacco - 1.7%
Imperial Tobacco Group Plc 24 666
Japan Tobacco Inc. - 3,037
3,703
Transportation - 0.9%
Canadian National Railway Co. 33 2,015
Wireless Telecommunications - 4.8%
Nokia Oyj - ADR 108 1,699
Telefonaktiebolaget LM Ericsson (b) 1,157 3,692
Vodafone Group Plc 1,909 5,176
10,567
Total Common Stocks (cost $187,324) 215,661
Short Term Investments - 5.4%
Money Market Funds - 1.1%
Dreyfus Cash Management Plus, 1.98% (a) 2,440 2,440
Securities Lending Collateral - 4.3%
Mellon GSL Delaware Business Trust Collateral Fund 9,311 9,311
Total Short Term Investments (cost $11,751) 11,751
Total Investments - 104.4% (cost $199,075) 227,412
Other Assets and Liabilities, Net - (4.4%) (9,459)
Total Net Assets - 100% $ 217,953
JNL/SELECT LARGE CAP GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 28.8%
Technology 22.4%
Communications 17.0%
Consumer, Cyclical 12.6%
Financial 12.4%
Industrial 4.1%
Energy 1.4%
Money Market Investment 1.3%
100.0%
Common Stocks - 99.1%
Advertising - 2.0%
Omnicom Group Inc. 70 $ 5,916
Aerospace & Defense - 1.0%
General Dynamics Corp. 28 2,917
Apparel - 1.1%
Coach Inc. (b) 58 3,267
Auto Parts & Equipment - 1.0%
Johnson Controls Inc. 45 2,846
Banks - 0.8%
State Street Corp. 47 2,309
Biotechnology - 0.8%
Genzyme Corp. (b) 42 2,442
Commercial Services - 7.7%
Accenture Ltd. (b) 131 3,542
Apollo Group Inc. (b) 192 15,472
Moody's Corp. 43 3,772
22,786
Computers - 9.6%
Dell Inc. (b) 292 12,321
Lexmark International Inc. (b) 33 2,823
Research In Motion Ltd. (b) (l) 159 13,092
28,236
Cosmetics & Personal Care - 1.9%
Gillette Co. 125 5,580
Distribution & Wholesale - 2.9%
CDW Corp. 130 8,622
Diversified Financial Services - 11.2%
Capital One Financial Corp. 43 3,611
Citigroup Inc. 100 4,842
Countrywide Financial Corp. 414 15,314
Franklin Resources Inc. 40 2,803
Freddie Mac 89 6,528
33,098
Healthcare - 5.7%
Aetna Inc. 24 3,011
Medtronic Inc. 195 9,696
WellPoint Inc. (b) 35 4,055
16,762
Home Builders - 1.2%
Lennar Corp. 62 3,487
Insurance - 0.4%
Progressive Corp. 15 1,271
Internet - 8.5%
eBay Inc. (b) 106 12,322
Google Inc. (b) 8 1,452
Yahoo! Inc. (b) (l) 303 11,414
25,188
Lodging - 0.0%
Las Vegas Sands Corp. (b) 3 139
Manufacturing - 3.1%
Danaher Corp. 67 3,859
General Electric Capital Corp. 146 5,325
9,184
Media - 2.9%
XM Satellite Radio Holdings Inc. - Class A (b) 227 8,542
Oil & Gas Producers - 1.4%
Petro-Canada 79 4,034
Pharmaceuticals - 12.9%
Abbott Laboratories 146 6,798
AstraZeneca Plc - ADR 251 9,125
Elan Corp. Plc - ADR (b) 100 2,734
Eli Lilly & Co. 116 6,602
Forest Laboratories Inc. (b) 94 4,221
Gilead Sciences Inc. (b) 92 3,223
Schering-Plough Corp. 262 5,468
38,171
Retail - 6.4%
Autozone Inc. (b) 73 6,622
Best Buy Co. Inc. 81 4,787
Lowe's Cos. Inc. 54 3,086
Petsmart Inc. 124 4,419
18,914
Semiconductors - 1.0%
Xilinx Inc. 97 2,880
Software - 12.0%
Electronic Arts Inc. (b) 223 13,769
First Data Corp. 238 10,138
Microsoft Corp. 260 6,952
Pixar Inc. (b) 54 4,580
35,439
Telecommunications Equipment - 2.6%
Cisco Systems Inc. (b) 399 7,698
Wireless Telecommunications - 1.1%
America Movil SA de CV 62 3,230
Total Common Stocks (cost $266,942) 292,958
Short Term Investments - 5.6%
Money Market Funds - 1.3%
Dreyfus Cash Management Plus, 1.98% (a) 3,743 3,743
Securities Lending Collateral - 4.3%
Mellon GSL Delaware Business Trust Collateral Fund 12,639 12,639
Total Short Term Investments (cost $16,382) 16,382
Total Investments - 104.7% (cost $283,324) 309,340
Other Assets and Liabilities, Net - (4.7%) (13,847)
Total Net Assets - 100% $ 295,493
JNL/SELECT MONEY MARKET FUND
Percentage of Total
Industry Sector Investments (o)
Financial 73.8%
Government 23.2%
Asset Backed Securities 1.7%
Mortgage Securities 1.3%
100.0%
Corporate Bonds - 5.0%
Asset Backed Securities - 2.9%
GE Commercial Equipment Financing LLC
2.37%, 11/20/05 (g) $2,458 $ 2,458
2.59%, 12/22/05 (e) (g) 1,500 1,500
Perma Financing Plc., 2.32%, 03/10/05 3,000 3,000
6,958
Diversified Financial Services - 2.1%
Principal Life Global Funding I, 2.63%, 03/18/05 (e) 4,900 4,901
Total Corporate Bonds (cost $11,859) 11,859
Government Securities - 2.9%
U.S. Government Agencies - 2.9%
Federal National Mortgage Association, 1.375%, 02/11/05 7,000 6,993
Total Government Securities (cost $6,993) 6,993
Short Term Investments - 27.4%
Certificates of Deposit - 5.9%
Credit Suisse First Boston Corp. Certificate of Deposit,
2.35%, 01/20/05 4,000 4,000
Svenska Handels NY Certificate of Deposit,
2.13%, 01/13/05 5,000 5,000
Wells Fargo Bank Certificate of Deposit, 2.01%, 01/19/05 5,000 5,000
14,000
Money Market Funds - 0.0%
Dreyfus Cash Management Plus, 1.98% (a) 1 1
U.S. Government Agencies - 20.2%
Federal Home Loan Bank Discount Note
2.05%, 01/14/05 $4,345 4,342
2.14%, 01/19/05 6,430 6,423
2.27%, 02/09/05 198 198
Federal Home Loan Mortgage Corp. Discount Note
1.97%, 01/11/05 3,000 2,998
1.97%, 01/12/05 4,000 3,998
2.05%, 01/12/05 5,000 4,997
1.98%, 01/14/05 2,970 2,968
2.00%, 01/19/05 4,000 3,996
2.28%, 02/01/05 4,380 4,371
2.24%, 02/02/05 445 444
2.14%, 02/07/05 5,423 5,411
2.25%, 02/09/05 6,545 6,529
2.31%, 02/14/05 1,400 1,396
48,071
Total Short Term Investments (cost $65,072) 65,072
Commercial Paper - 65.9%
Diversified Financial Services - 65.9%
Archer-Daniels, 2.15%, 02/02/05 5,500 5,489
Barclays US Funding, 2.25%, 02/22/05 5,000 4,984
CBA Finance, 2.125%, 01/05/05 3,600 3,599
Chariot Funding LLC, 2.33%, 01/19/05 4,550 4,545
Ciesco LLC, 2.18%, 01/27/05 4,300 4,293
Clipper Receivables, 2.34%, 01/19/05 4,500 4,495
Coca-cola Co., 2.24%, 02/01/05 4,140 4,132
CRC Funding, 2.23%, 01/24/05 4,500 4,494
CSFB USA, 2.34%, 02/08/05 2,600 2,594
Depfa Bank, 2.10%, 01/06/05 5,308 5,306
Diageo Capital Plc, 2.295%, 02/01/05 4,300 4,292
Edison Asset Security Corp., 1.98%, 01/12/05 3,800 3,798
Eureka Securities Plc, 2.20%, 01/12/05 1,755 1,754
Falcon Asset Securities Corp., 2.31%, 01/11/05 4,300 4,297
Fortune Brands, 2.30%, 02/09/05 4,500 4,489
Galaxy Funding, 2.35%, 03/03/05 4,000 3,984
General Electric Capital Corp.
2.16%, 01/13/05 5,000 4,996
2.26%, 02/16/05 2,000 1,994
Goldman Sachs Group Inc., 2.33%, 01/28/05 4,000 3,993
Greyhawk Funding, 2.11%, 01/20/05 636 635
International Lease Finance Corp., 2.30%, 01/12/05 3,593 3,590
JPMorgan Chase & Co., 2.14%, 02/01/05 1,618 1,615
Jupiter Securities Corp., 2.44%, 03/15/05 3,275 3,259
Mass Mutual Funding, 2.30%, 01/31/05 1,500 1,497
Mont Blanc Capital, 2.24%, 02/14/05 4,500 4,488
Morgan Stanley, 2.32%, 01/18/05 4,500 4,495
Nationwide Building, 2.37%, 02/22/05 2,265 2,257
Nestle Capital, 2.20%, 01/10/05 3,035 3,033
New York Life Cap, 2.31%, 02/01/05 5,000 4,990
Pepsico Co., 2.30%, 01/21/05 3,000 2,996
Pfizer Inc., 2.14%, 02/02/05 3,000 2,994
Prefco, 2.27%, 01/14/05 4,000 3,997
Proctor & Gamble Co., 2.14%, 02/02/05 5,000 4,990
Quebec Province Co., 2.32%, 02/25/05 6,000 5,979
Shell Finance, 2.22%, 01/06/05 5,000 4,998
Travelers Insurance Co., 2.47%, 03/01/05 3,000 3,000
Variable Funding Capital Corp., 2.32%, 01/14/05 4,750 4,746
Westpac Capital Corp., 2.04%, 01/26/05 5,000 4,993
Windmill Funding Co.
2.06%, 01/19/05 2,000 1,998
2.34%, 02/04/05 2,195 2,190
Yale University, 2.11%, 02/01/05 3,500 3,495
Yorktown Capital, 2.28%, 01/07/05 3,000 2,999
Total Commercial Paper (cost $153,762) 156,762
Total Investments - 99.9% (cost $237,686) 237,686
Other Assets and Liabilities, Net - 0.1% 187
Total Net Assets - 100% $ 237,873
JNL/SELECT VALUE FUND
Percentage of Total
Industry Sector Investments (o)
Financial 25.2%
Consumer, Non-cyclical 14.2%
Industrial 13.6%
Energy 10.6%
Consumer, Cyclical 8.7%
Utilities 7.7%
Communications 7.2%
Basic Materials 6.1%
Technology 5.3%
Money Market Investment 1.4%
100.0%
Common Stocks - 98.5%
Aerospace & Defense - 2.0%
General Dynamics Corp. 22 $ 2,259
Lockheed Martin Corp. 16 911
3,170
Airlines - 1.6%
Southwest Airlines Co. 151 2,465
Apparel - 1.5%
NIKE Inc. 25 2,249
Auto Manufacturers - 1.0%
General Motors Corp. (l) 39 1,542
Auto Parts & Equipment - 0.5%
Lear Corp. 14 842
Banks - 10.5%
Bank of America Corp. 153 7,175
National City Corp. 102 3,815
PNC Financial Services Group Inc. 23 1,333
SunTrust Banks Inc. 22 1,588
Wells Fargo & Co. 38 2,337
16,248
Beverages - 1.7%
PepsiCo Inc. 51 2,636
Chemicals - 3.1%
Dow Chemical Co. 33 1,649
E.I. du Pont de Nemours & Co. 65 3,173
4,822
Computers - 1.4%
Hewlett-Packard Co. 33 696
International Business Machines Corp. 16 1,528
2,224
Diversified Financial Services - 11.0%
Citigroup Inc. 147 7,058
Fannie Mae 22 1,538
Goldman Sachs Group Inc. 31 3,204
JPMorgan Chase & Co. 68 2,638
Morgan Stanley 47 2,609
17,047
Electric - 7.7%
Dominion Resources Inc. 31 2,127
Entergy Corp. 30 2,014
Exelon Corp. 84 3,711
PPL Corp. 25 1,316
SCANA Corp. 31 1,206
TXU Corp. (l) 23 1,465
11,839
Electrical Components & Equipment - 2.0%
Emerson Electric Co. 44 3,085
Food - 1.7%
Kellogg Co. 58 2,599
Forest Products & Paper - 0.5%
Weyerhaeuser Co. 12 774
Healthcare - 4.7%
Baxter International Inc. 65 2,228
Beckman Coulter Inc. 28 1,856
WellPoint Inc. (b) 28 3,162
7,246
Household Products - 1.2%
Kimberly-Clark Corp. 27 1,784
Insurance - 2.9%
ACE Ltd. 36 1,518
Chubb Corp. 18 1,377
Principal Financial Group 38 1,571
4,466
Machinery - 4.7%
Caterpillar Inc. 57 5,587
Rockwell Automation Inc. 33 1,616
7,203
Manufacturing - 1.9%
Illinois Tool Works Inc. 16 1,483
Tyco International Ltd. 42 1,512
2,995
Media - 3.3%
Comcast Corp. - Class A (b) 89 2,949
Time Warner Inc. (b) 110 2,128
5,077
Metal Fabrication & Hardware - 1.0%
Precision Castparts Corp. 23 1,485
Mining - 2.5%
Alcoa Inc. 123 3,855
Oil & Gas Producers - 10.6%
ConocoPhillips 37 3,178
Exxon Mobil Corp. 145 7,448
GlobalSantaFe Corp. 99 3,281
Shell Transport & Trading Co. Plc 48 2,447
16,354
Pharmaceuticals - 5.0%
Pfizer Inc. 106 2,843
Watson Pharmaceuticals Inc. (b) 57 1,883
Wyeth 69 2,934
7,660
Retail - 4.1%
CVS Corp. 69 3,092
Dollar General Corp. 80 1,666
McDonald's Corp. 50 1,609
6,367
Savings & Loans - 0.6%
Washington Mutual Inc. 21 879
Semiconductors - 3.9%
Applied Materials Inc. (b) 76 1,291
Intel Corp. 73 1,700
Lam Research Corp. (b) 42 1,200
Teradyne Inc. (b) 107 1,823
6,014
Telecommunications - 3.5%
BellSouth Corp. 71 1,976
SBC Communications Inc. 75 1,930
Sprint Corp. - FON Group 63 1,553
5,459
Telecommunications Equipment - 0.4%
Scientific-Atlanta Inc. 17 552
Transportation - 2.0%
CSX Corp. 76 3,033
Total Common Stocks (cost $140,304) 151,971
Short Term Investments - 3.4%
Money Market Funds - 1.4%
Dreyfus Cash Management Plus, 1.98% (a) 2,171 2,171
Securities Lending Collateral - 2.0%
Mellon GSL Delaware Business Trust Collateral Fund 3,053 3,053
Total Short Term Investments (cost $5,224) 5,224
Total Investments - 101.9% (cost $145,528) 157,195
Other Assets and Liabilities, Net - (1.9%) (2,885)
Total Net Assets - 100% $ 154,310
JNL/T. ROWE PRICE ESTABLISHED GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Financial 20.8%
Consumer, Non-cyclical 18.5%
Communications 16.0%
Technology 14.6%
Consumer, Cyclical 13.4%
Industrial 8.5%
Energy 4.3%
Money Market Investment 2.0%
Basic Materials 1.9%
100.0%
Common Stocks - 97.9%
Apparel - 0.4%
Hermes International 12 $ 2,295
Banks - 6.7%
Anglo Irish Bank Corp. Plc 107 2,602
Credit Suisse Group (b) 102 4,288
Mellon Financial Corp. 144 4,483
Northern Trust Corp. 84 4,100
State Street Corp. 235 11,533
UBS AG 96 8,016
US Bancorp. 182 5,694
40,716
Beverages - 0.9%
Coca-Cola Co. 90 3,730
PepsiCo Inc. 30 1,561
5,291
Biotechnology - 1.9%
Amgen Inc. (b) 125 8,038
Biogen Idec Inc. (b) 33 2,178
Genentech Inc. (b) 28 1,514
11,730
Commercial Services - 3.2%
Accenture Ltd. (b) 284 7,676
Apollo Group Inc. (b) 51 4,148
Cendant Corp. 322 7,522
19,346
Computers - 3.1%
Affiliated Computer Services Inc. - Class A (b) 128 7,710
Dell Inc. (b) 264 11,117
18,827
Diversified Financial Services - 9.7%
American Express Co. 153 8,596
Ameritrade Holding Corp. (b) 296 4,208
Charles Schwab Corp. 284 3,393
Citigroup Inc. 456 21,963
Fannie Mae 28 1,973
Freddie Mac 15 1,113
Goldman Sachs Group Inc. 36 3,745
Merrill Lynch & Co. Inc. 113 6,724
SLM Corp. 134 7,143
58,858
Electrical Components & Equipment - 0.7%
Samsung Electronics Co. Ltd. 9 4,004
Entertainment - 1.4%
International Game Technology 253 8,695
Food - 1.2%
Compass Group Plc 654 3,092
Sysco Corp. 108 4,111
7,203
Healthcare - 7.4%
Biomet Inc. 50 2,183
Boston Scientific Corp. (b) 79 2,791
Johnson & Johnson 97 6,152
Medtronic Inc. 118 5,861
Stryker Corp. 37 1,785
UnitedHealth Group Inc. 184 16,206
WellPoint Inc. (b) 88 10,108
45,086
Insurance - 4.4%
ACE Ltd. 71 3,023
American International Group Inc. 222 14,579
Hartford Financial Services Group Inc. 97 6,688
Marsh & McLennan Cos. Inc. 78 2,579
26,869
Internet - 2.3%
eBay Inc. (b) 32 3,709
Google Inc. (b) (l) 11 2,201
IAC/InterActiveCorp (b) (l) 148 4,091
Yahoo! Inc. (b) 111 4,186
14,187
Iron & Steel - 0.3%
Nucor Corp. 39 2,062
Leisure Time - 1.6%
Carnival Corp. 114 6,570
Harley-Davidson Inc. (l) 46 2,819
9,389
Lodging - 0.2%
MGM MIRAGE (b) 20 1,440
Machinery - 0.7%
Deere & Co. 59 4,375
Manufacturing - 6.0%
Danaher Corp. (l) 173 9,943
General Electric Capital Corp. 429 15,659
Tyco International Ltd. 294 10,508
36,110
Media - 7.8%
British Sky Broadcasting Plc 176 1,895
Clear Channel Communications Inc. 84 2,806
Comcast Corp. - Special Class A (b) 137 4,496
E.W. Scripps Co. 68 3,278
EchoStar Communications Corp. 143 4,760
Liberty Media Corp. (b) 918 10,082
News Corp Inc. (l) 378 7,059
Time Warner Inc. (b) 289 5,612
Univision Communications Inc. (b) (l) 83 2,421
Viacom Inc. - Class B 141 5,125
47,534
Mining - 1.6%
BHP Billiton Ltd. 429 5,159
Rio Tinto Plc 149 4,373
9,532
Oil & Gas Producers - 2.1%
ChevronTexaco Corp. 117 6,154
Exxon Mobil Corp. 125 6,424
12,578
Oil & Gas Services - 2.2%
Baker Hughes Inc. 167 7,117
Schlumberger Ltd. 93 6,247
13,364
Pharmaceuticals - 3.9%
Cardinal Health Inc. 27 1,564
Elan Corp. Plc - ADR (b) 96 2,605
Forest Laboratories Inc. (b) 49 2,180
Gilead Sciences Inc. (b) 111 3,898
Pfizer Inc. 231 6,199
Teva Pharmaceutical Industries Ltd. - ADR 85 2,532
Wyeth 108 4,600
23,578
Retail - 9.3%
Best Buy Co. Inc. 122 7,252
Family Dollar Stores Inc. (l) 82 2,548
Home Depot Inc. 157 6,704
Inditex SA 82 2,425
Kingfisher Plc 403 2,395
Kohl's Corp. (b) 81 3,978
Starbucks Corp. (b) 31 1,958
Target Corp. 183 9,519
Walgreen Co. 127 4,877
Wal-Mart de Mexico SA de CV 210 722
Wal-Mart de Mexico SA de CV - ADR 42 1,457
Wal-Mart Stores Inc. 233 12,307
56,142
Semiconductors - 3.8%
Analog Devices Inc. 138 5,084
ASML Holding NV (b) 117 1,870
Intel Corp. 319 7,468
Maxim Integrated Products Inc. 68 2,899
Texas Instruments Inc. 88 2,157
Xilinx Inc. 119 3,535
23,013
Software - 7.7%
Adobe Systems Inc. 60 3,789
Computer Associates International Inc. - 4
First Data Corp. 78 3,297
Fiserv Inc. (b) 123 4,927
Intuit Inc. (b) 75 3,318
Mercury Interactive Corp. (b) (l) 68 3,111
Microsoft Corp. 742 19,821
Oracle Corp. (b) 274 3,758
Red Hat Inc. (b) (l) 152 2,024
SAP AG 14 2,555
46,604
Telecommunications - 0.8%
Sprint Corp. - FON Group 105 2,617
TELUS Corp. 42 1,273
TELUS Corp. (b) (l) 39 1,115
5,005
Telecommunications Equipment - 2.2%
Cisco Systems Inc. (b) 254 4,902
Corning Inc. (b) 462 5,440
Juniper Networks Inc. (b) 118 3,198
13,540
Tobacco - 0.5%
Altria Group Inc. 49 2,969
Transportation - 1.1%
United Parcel Service Inc. 80 6,870
Wireless Telecommunications - 2.8%
America Movil SA de CV 44 2,314
Crown Castle International Corp. (b) 158 2,622
Nextel Communications Inc. (b) 138 4,149
Qualcomm Inc. 53 2,230
Vodafone Group Plc 1,504 4,079
Vodafone Group Plc - ADR 55 1,512
16,906
Total Common Stocks (cost $508,382) 594,118
Short Term Investments - 7.7%
Money Market Funds - 2.0%
Dreyfus Cash Management Plus, 1.98% (a) 1,573 1,573
T. Rowe Price Reserves Investment Fund,
2.30% (a) (n) 10,780 10,780
12,353
Securities Lending Collateral - 5.7%
Mellon GSL Delaware Business Trust Collateral Fund 34,511 34,511
Total Short Term Investments (cost $46,864) 46,864
Total Investments - 105.6% (cost $555,246) 640,982
Other Assets and Liabilities, Net - (5.6%) (34,073)
Total Net Assets - 100% $ 606,909
JNL/T. ROWE PRICE MID-CAP GROWTH FUND
Percentage of Total
Industry Sector Investments (o)
Consumer, Non-cyclical 25.9%
Technology 15.2%
Communications 14.1%
Consumer, Cyclical 11.9%
Industrial 11.4%
Financial 8.7%
Energy 6.5%
Money Market Investment 3.8%
Basic Materials 2.5%
100.0%
Common Stocks - 96.2%
Advertising - 0.8%
Catalina Marketing Corp. 76 $ 2,252
Getty Images Inc. (b) 21 1,418
Harte-Hanks Inc. 1 32
Lamar Advertising Co. (b) 2 77
Omnicom Group Inc. 2 152
WPP Group Plc 2 98
4,029
Aerospace & Defense - 2.3%
Alliant Techsystems Inc. (b) 87 5,688
Empresa Brasiliera de Aeronautica SA - ADR 3 87
Rockwell Collins Inc. 170 6,713
12,488
Agriculture - 0.0%
Delta & Pine Land Co. 2 52
Airlines - 1.2%
JetBlue Airways Corp. (b) (l) 118 2,740
SkyWest Inc. 4 70
Southwest Airlines Co. 237 3,860
6,670
Apparel - 0.0%
Coach Inc. (b) 2 96
Auto Manufacturers - 0.8%
Oshkosh Truck Corp. 64 4,376
Banks - 0.9%
Boston Private Financial Holdings Inc. 2 68
City National Corp. 1 64
East-West Bancorp. Inc. 2 84
First Horizon National Corp. 1 60
Investors Financial Services Corp. (l) 48 2,399
Mellon Financial Corp. 7 205
North Fork Bancorp. Inc. 3 74
Northern Trust Corp. 6 301
Silicon Valley Bancshares (b) 27 1,188
State Street Corp. 6 300
Synovus Financial Corp. 3 80
UCBH Holdings Inc. 2 68
4,891
Beverages - 0.6%
Cott Corp. (b) 130 3,210
Biotechnology - 2.7%
Celgene Corp. (b) 3 74
Charles River Laboratories International Inc. (b) 1 28
Chiron Corp. (b) 2 57
Decode Genetics Inc. (b) 5 37
Diversa Corp. (b) 6 52
Genzyme Corp. (b) 1 52
Human Genome Sciences Inc. (b) 99 1,186
Integra LifeSciences Holdings Corp. (b) 1 48
Invitrogen Corp. (b) (l) 38 2,517
Martek Biosciences Corp. (b) 3 133
Medimmune Inc. (b) 277 7,504
Millennium Pharmaceuticals Inc. (b) 5 56
Millipore Corp. (b) 1 60
Nektar Therapeutics (b) 2 40
Protein Design Labs Inc. (b) 70 1,450
Qiagen NV (b) (l) 7 79
Vertex Pharmaceuticals Inc. (b) 92 977
14,350
Building Materials - 0.7%
American Standard Cos. Inc. (b) 95 3,925
Trex Co. Inc. (b) 1 63
3,988
Chemicals - 1.1%
Ecolab Inc. 2 77
Engelhard Corp. 1 37
Potash Corp. 66 5,482
Praxair Inc. 1 49
Sigma-Aldrich Corp. 1 42
Symyx Technologies Inc. (b) 2 72
Valspar Corp. 1 60
5,819
Commercial Services - 5.7%
Apollo Group Inc. (b) 27 2,156
Aramark Corp. 2 56
Career Education Corp. (b) 2 84
ChoicePoint Inc. (b) 167 7,671
Corporate Executive Board Co. 2 100
DeVry Inc. (b) 3 54
Education Management Corp. (b) 97 3,189
Equifax Inc. 3 76
H&R Block Inc. 1 54
Hewitt Associates Inc. - Class A (b) 79 2,529
Iron Mountain Inc. (b) 154 4,703
ITT Educational Services Inc. (b) 2 95
LECG Corp. (b) 3 50
Manpower Inc. 109 5,270
Moody's Corp. 3 278
Paychex Inc. 5 177
Robert Half International Inc. 92 2,702
Universal Technical Institute Inc. (b) 3 99
Viad Corp. 49 1,396
Watson Wyatt & Co. Holdings 2 62
30,801
Computers - 4.3%
Affiliated Computer Services Inc. - Class A (b) 2 108
CACI International Inc. - Class A (b) 46 3,134
Cadence Design Systems Inc. (b) (l) 278 3,834
Cognizant Technology Solutions Corp. (b) 5 195
Diebold Inc. 69 3,845
DST Systems Inc. (b) 118 6,135
Factset Research Systems Inc. 2 105
Jack Henry & Associates Inc. 100 1,993
Kronos Inc. (b) 1 66
Lexmark International Inc. (b) 13 1,122
Mercury Computer Systems Inc. (b) 2 47
National Instruments Corp. 2 52
Network Appliance Inc. (b) 2 53
Research In Motion Ltd. (b) 1 49
SunGard Data Systems Inc. (b) 77 2,190
Synopsys Inc. (b) 4 74
23,002
Cosmetics & Personal Care - 0.0%
Estee Lauder Cos. Inc. 1 37
Distribution & Wholesale - 0.8%
CDW Corp. 66 4,372
Diversified Financial Services - 4.2%
A.G. Edwards Inc. 1 52
Ameritrade Holding Corp. (b) 316 4,492
Amvescap Plc ADR 4 50
CapitalSource Inc. (b) 133 3,414
Charles Schwab Corp. 11 126
Eaton Vance Corp. 84 4,360
Federated Investors Inc. 61 1,845
Franklin Resources Inc. 5 313
Janus Capital Group Inc. 2 40
LaBranche & Co. Inc. (b) (l) 7 60
Legg Mason Inc. 49 3,586
Raymond James Financial Inc. 2 71
Waddell & Reed Financial Inc. - Class A 171 4,079
22,488
Electrical Components & Equipment - 0.0%
Littelfuse Inc. (b) 2 54
Molex Inc. 4 115
169
Electronics - 4.0%
Applera Corp. - Applied Biosystems Group 3 59
Cymer Inc. (b) 2 56
Flextronics International Ltd. (b) 237 3,275
Flir Systems Inc. (b) 54 3,438
Garmin Ltd. 68 4,137
Gentex Corp. 123 4,568
Jabil Circuit Inc. (b) 134 3,435
Mettler-Toledo International Inc. (b) 1 56
Symbol Technologies Inc. 5 85
Waters Corp. (b) 58 2,715
21,824
Entertainment - 0.1%
Alliance Gaming Corp. (b) (l) 3 47
DreamWorks Animation SKG Inc. (b) 1 38
International Game Technology 6 199
Shuffle Master Inc. (b) (l) 2 89
373
Environmental Control - 0.0%
Stericycle Inc. (b) 2 74
Food - 0.8%
Hershey Foods Corp. 2 83
McCormick & Co. Inc. 2 62
Tootsie Roll Industries Inc. 1 42
Whole Foods Market Inc. (l) 45 4,291
WM.Wrigley Jr. Co. 1 75
4,553
Healthcare - 6.8%
Arthrocare Corp. (b) 2 74
Bausch & Lomb Inc. 17 1,115
Beckman Coulter Inc. 1 74
Becton Dickinson & Co. 2 85
Biomet Inc. 3 108
C.R. Bard Inc. 2 134
Community Health Systems Inc. (b) 84 2,342
Cooper Cos. Inc. (l) 1 71
Coventry Health Care Inc. (b) 43 2,288
DaVita Inc. (b) 43 1,684
Dentsply International Inc. 2 112
Edwards Lifesciences Corp. (b) 78 3,218
Gen-Probe Inc. (b) 36 1,628
Health Management Associates Inc. (l) 179 4,067
Henry Schein Inc. (b) 2 132
Inamed Corp. (b) 17 1,044
Kinetic Concepts Inc. (b) 67 5,112
Kyphon Inc. (b) 2 53
Laboratory Corp. of America Holdings (b) 110 5,455
Lincare Holdings Inc. (b) 2 86
Manor Care Inc. 157 5,573
Patterson Cos. Inc. (b) 2 95
Quest Diagnostics Inc. 2 162
Renal Care Group Inc. (b) 2 83
ResMed Inc. (b) 1 66
Respironics Inc. (b) 1 60
Smith & Nephew Plc 1 36
St. Jude Medical Inc. (b) 2 101
Sybron Dental Specialties Inc. (b) 2 74
Techne Corp. (b) 1 54
Varian Medical Systems Inc. (b) 25 1,072
Wellchoice Inc. (b) 4 192
WellPoint Inc. (b) 2 196
Wright Medical Group Inc. (b) 2 51
Zimmer Holdings Inc. (b) 1 48
36,745
Home Builders - 0.1%
Centex Corp. 2 137
KB Home 1 94
Lennar Corp. 3 153
Pulte Homes Inc. 1 70
Thor Industries Inc. 3 100
Toll Brothers Inc. (b) 2 137
Winnebago Industries 2 63
754
Household Products - 0.0%
Avery Dennison Corp. 1 54
Clorox Co. 1 53
107
Insurance - 3.7%
AMBAC Financial Group Inc. 1 66
Arch Capital Group Ltd. (b) 1 54
Arthur J. Gallagher & Co. 2 62
Assurant Inc. 148 4,521
Axis Capital Holdings Ltd. 74 2,027
Brown & Brown Inc. 1 61
Markel Corp. (b) - 73
Marsh & McLennan Cos. Inc. 5 158
MBIA Inc. 1 70
MGIC Investment Corp. 1 48
Principal Financial Group 84 3,439
Protective Life Corp. 64 2,732
Radian Group Inc. 50 2,667
RenaissanceRe Holdings Ltd. 1 62
Triad Guaranty Inc. (b) 1 42
Willis Group Holdings Ltd. 94 3,859
19,941
Internet - 4.3%
Amazon.Com Inc. (b) (l) 3 146
Check Point Software Technologies Ltd. (b) 3 71
CheckFree Corp. (b) 88 3,351
CNET Networks Inc. (b) (l) 204 2,291
F5 Networks Inc. (b) 1 58
IAC/InterActiveCorp (b) (l) 63 1,740
Internet Security Systems Inc. (b) 3 63
Matrixone Inc. (b) 10 66
McAfee Inc. (b) 211 6,113
Monster Worldwide Inc. (b) 108 3,616
Sina Corp. (b) 4 135
VeriSign Inc. (b) 174 5,829
Websense Inc. (b) 1 67
23,546
Iron & Steel - 0.8%
Nucor Corp. 83 4,344
Leisure Time - 1.2%
Brunswick Corp. 129 6,390
Harley-Davidson Inc. 1 43
Multimedia Games Inc. (b) 2 27
Royal Caribbean Cruises Ltd. 2 109
Sabre Holdings Corp. 3 55
WMS Industries Inc. (b) 2 60
6,684
Lodging - 1.1%
Fairmont Hotels & Resorts Inc. 156 5,404
Hilton Hotels Corp. 4 93
Las Vegas Sands Corp. (b) - 14
Marriott International Inc. - Class A 5 302
Station Casinos Inc. 5 273
Wynn Resorts Ltd. (b) 2 135
6,221
Machinery - 0.0%
IDEX Corp. 1 36
Zebra Technologies Corp. (b) 2 96
132
Manufacturing - 3.3%
Cuno Inc. (b) 1 53
Danaher Corp. (l) 75 4,283
Dover Corp. 1 42
ITT Industries Inc. 53 4,442
Pall Corp. 2 61
Roper Industries Inc. 104 6,338
Teleflex Inc. 48 2,473
17,692
Media - 3.6%
Citadel Broadcasting Corp. (b) 306 4,949
COX Radio Inc. (b) 113 1,861
Cumulus Media Inc. - Class A (b) 2 36
Dow Jones & Co. Inc. (l) 1 60
E.W. Scripps Co. 2 116
Entercom Communications Corp. (b) 79 2,832
McGraw-Hill Cos. Inc. 1 46
Meredith Corp. 3 136
New York Times Co. 2 94
Radio One Inc. - Class D (b) 5 77
Regent Communications Inc. (b) 9 46
Rogers Communications Inc. - Class B (b) 161 4,210
Salem Communications Corp. - Class A (b) 3 77
Scholastic Corp. (b) 68 2,513
Spanish Broadcasting System Inc. (b) 6 63
Univision Communications Inc. (b) 7 217
Washington Post - 197
Westwood One Inc. (b) 3 92
XM Satellite Radio Holdings Inc. - Class A (b) 55 2,069
19,691
Metal Fabrication & Hardware - 0.0%
Kaydon Corp. 2 50
Mining - 0.6%
Newmont Mining Corp. (l) 79 3,508
Office Furnishings - 0.0%
HNI Corp. 1 43
Oil & Gas Producers - 3.3%
Diamond Offshore Drilling Inc. (l) 98 3,925
EOG Resources Inc. 51 3,639
Murphy Oil Corp. 68 5,463
XTO Energy Inc. 131 4,617
17,644
Oil & Gas Services - 2.8%
Baker Hughes Inc. 3 141
BJ Services Co. 130 6,064
Cooper Cameron Corp. (b) 1 54
FMC Technologies Inc. (b) 113 3,639
Smith International Inc. (b) 90 4,908
Weatherford International Ltd. (b) 2 107
14,913
Packaging & Containers - 0.0%
Sealed Air Corp. (b) 1 64
Pharmaceuticals - 9.2%
Abgenix Inc. (b) 87 896
Alkermes Inc. (b) 87 1,226
Allergan Inc. 1 81
AmerisourceBergen Corp. 67 3,932
Amylin Pharmaceuticals Inc. (b) 59 1,385
Andrx Corp. (b) 92 2,008
Atherogenics Inc. (b) 3 68
Barr Laboratories Inc. (b) 99 4,508
Caremark Rx Inc. (b) 3 134
Cephalon Inc. (b) (l) 86 4,381
Elan Corp. Plc - ADR (b) 125 3,406
Express Scripts Inc. - Class A (b) 2 138
Eyetech Pharmaceuticals Inc. (b) 37 1,684
Gilead Sciences Inc. (b) 135 4,734
ImClone Systems Inc. (b) 26 1,198
IVAX Corp. (b) 220 3,485
Medco Health Solutions Inc. (b) 4 155
Medicines Co. (b) 2 59
Medicis Pharmaceutical Corp. - Class A 1 49
Neurocrine Biosciences Inc. (b) 47 2,292
Omnicare Inc. 202 6,976
Sepracor Inc. (b) 32 1,879
Taro Pharmaceuticals Industries Ltd. (b) 48 1,633
Valeant Pharmaceuticals International 127 3,346
49,653
Pipelines - 0.5%
Western Gas Resources Inc. 94 2,750
Retail - 6.4%
99 Cents Only Stores (b) (l) 3 40
Bed Bath & Beyond Inc. (b) 3 127
Best Buy Co. Inc. 69 4,100
Cheesecake Factory (b) 107 3,476
CVS Corp. 1 45
Dollar General Corp. 7 150
Dollar Tree Stores Inc. (b) 60 1,732
Family Dollar Stores Inc. (l) 155 4,847
Fred's Inc. 3 59
Men's Wearhouse Inc. (b) 2 54
MSC Industrial Direct Co. Inc. 17 612
O'Reilly Automotive Inc. (b) 66 2,982
Outback Steakhouse Inc. 1 55
Petsmart Inc. 149 5,287
PF Chang's China Bistro Inc. (b) 40 2,254
Ross Stores Inc. 124 3,568
Ruby Tuesday Inc. 2 45
Shoppers Drug Mart Corp. (b) 66 2,053
Staples Inc. 3 108
Tiffany & Co. 6 195
TJX Cos. Inc. 8 212
Williams-Sonoma Inc. (b) 82 2,859
34,860
Semiconductors - 5.0%
Altera Corp. (b) 12 238
AMIS Holdings Inc. (b) 117 1,931
Analog Devices Inc. 7 262
ASML Holding NV - NYS (b) 4 64
Broadcom Corp. (b) 4 113
Integrated Circuit Systems Inc. (b) 98 2,054
Intersil Corp. 194 3,249
KLA-Tencor Corp. (b) (l) 2 84
Lam Research Corp. (b) 2 64
Linear Technology Corp. 6 244
Marvell Technology Group Ltd. (b) 2 78
Maxim Integrated Products Inc. 6 259
Microchip Technology Inc. 143 3,802
National Semiconductor Corp. 9 153
Novellus Systems Inc. (b) 123 3,442
PMC - Sierra Inc. (b) 154 1,733
Power Integrations Inc. (b) 3 49
QLogic Corp. (b) 87 3,203
Semtech Corp. (b) 94 2,049
Silicon Laboratories Inc. (b) 2 60
Xilinx Inc. 125 3,690
26,821
Software - 6.0%
Adobe Systems Inc. 43 2,717
BMC Software Inc. (b) 4 71
Certegy Inc. 146 5,187
Citrix Systems Inc. (b) 35 861
Cognos Inc. (b) 34 1,476
Dun & Bradstreet Corp. (b) 1 60
Electronic Arts Inc. (b) 2 117
Fair Isaac Corp. 2 84
FILENET Corp. (b) 1 36
Fiserv Inc. (b) 70 2,805
Global Payments Inc. 59 3,454
Hyperion Solutions Corp. (b) 2 89
IMS Health Inc. 5 121
Intuit Inc. (b) 34 1,514
Mercury Interactive Corp. (b) (l) 66 3,011
MoneyGram International Inc. 172 3,638
Navteq Corp. (b) 94 4,358
Red Hat Inc. (b) 145 1,932
SEI Investments Co. 2 67
Veritas Software Corp. (b) 29 818
32,416
Telecommunications - 0.6%
TELUS Corp. 103 3,113
Telecommunications Equipment - 2.3%
Adtran Inc. 64 1,215
Comverse Technology Inc. (b) (l) 77 1,883
Corning Inc. (b) 11 131
Harris Corp. 107 6,612
JDS Uniphase Corp. (b) (l) 31 99
Juniper Networks Inc. (b) 86 2,332
Plantronics Inc. 1 50
12,322
Textiles - 0.0%
Cintas Corp. 3 136
Toys & Hobbies - 0.0%
Mattel Inc. 3 56
Transportation - 1.0%
C.H. Robinson Worldwide Inc. 55 3,054
Expeditors International of Washington Inc. (l) 41 2,291
Landstar System Inc. (b) 2 118
UTI Worldwide Inc. 1 61
5,524
Wireless Telecommunications - 2.6%
American Tower Corp. (b) 4 72
Crown Castle International Corp. (b) 235 3,917
Nextel Communications Inc. (b) 64 1,920
Nextel Partners Inc. (b) 193 3,773
Rogers Wireless Communications Inc. (b) 2 91
Western Wireless Corp. (b) 140 4,099
13,872
Total Common Stocks (cost $387,071) 521,264
Short Term Investments - 10.9%
Money Market Funds - 3.8%
Dreyfus Cash Management Plus, 1.98% (a) 861 861
T. Rowe Price Reserves Investment Fund,
2.30% (a) (n) 19,470 19,470
20,331
Securities Lending Collateral - 7.1%
Mellon GSL Delaware Business Trust Collateral Fund 38,723 38,723
Total Short Term Investments (cost $59,054) 59,054
Total Investments - 107.1% (cost $446,125) 580,318
Other Assets and Liabilities, Net - (7.1%) (38,546)
Total Net Assets - 100% $ 541,772
JNL/T. ROWE PRICE VALUE FUND
Percentage of Total
Industry Sector Investments (o)
Financial 22.7%
Communications 14.6%
Consumer, Non-cyclical 14.1%
Industrial 13.1%
Consumer, Cyclical 8.7%
Energy 7.5%
Basic Materials 7.2%
Money Market Investment 5.3%
Technology 3.8%
Utilities 2.8%
Government 0.2%
100.0%
Common Stocks - 94.2%
Aerospace & Defense - 2.8%
Lockheed Martin Corp. 92 $ 5,122
Raytheon Co. 113 4,388
Rockwell Collins Inc. 102 4,007
13,517
Airlines - 0.1%
Delta Air Lines Inc. (b) (l) 39 289
Auto Manufacturers - 0.7%
General Motors Corp. (l) 81 3,253
Banks - 6.2%
Bank of America Corp. 144 6,776
Comerica Inc. 60 3,637
Mellon Financial Corp. 120 3,724
Royal Bank of Scotland Group Plc 147 4,945
State Street Corp. 116 5,688
US Bancorp. 165 5,180
29,950
Beverages - 2.8%
Coca-Cola Co. 157 6,515
Coca-Cola Enterprises Inc. 110 2,283
Heineken NV 145 4,828
13,626
Biotechnology - 1.0%
Chiron Corp. (b) 23 760
Medimmune Inc. (b) 154 4,180
4,940
Chemicals - 2.2%
E.I. du Pont de Nemours & Co. 121 5,935
Great Lakes Chemical Corp. 126 3,601
Hercules Inc. (b) 91 1,353
10,889
Computers - 1.4%
Hewlett-Packard Co. 222 4,651
Synopsys Inc. (b) 112 2,194
6,845
Diversified Financial Services - 6.9%
American Express Co. 86 4,870
Charles Schwab Corp. 298 3,563
Citigroup Inc. 82 3,939
Franklin Resources Inc. 53 3,699
Freddie Mac 55 4,083
JPMorgan Chase & Co. 195 7,609
Merrill Lynch & Co. Inc. 38 2,289
Morgan Stanley 67 3,726
33,778
Electric - 2.8%
Duke Energy Corp. (l) 132 3,354
FirstEnergy Corp. 92 3,651
NiSource Inc. (l) 242 5,522
Pinnacle West Capital Corp. 27 1,216
13,743
Environmental Control - 1.0%
Waste Management Inc. 165 4,949
Food - 2.0%
Campbell Soup Co. 110 3,276
General Mills Inc. 102 5,060
Safeway Inc. (b) 68 1,343
9,679
Forest Products & Paper - 3.3%
Bowater Inc. (l) 124 5,430
International Paper Co. 151 6,326
MeadWestvaco Corp. 127 4,307
16,063
Healthcare - 2.0%
Johnson & Johnson 77 4,909
Medtronic Inc. 93 4,609
9,518
Home Furnishings - 0.9%
Sony Corp. - ADR 108 4,192
Household Products - 2.4%
Clorox Co. 36 2,122
Fortune Brands Inc. 51 3,905
Newell Rubbermaid Inc. 223 5,382
11,409
Insurance - 9.2%
Berkshire Hathaway Inc. - Class A (b) - 4,395
Cigna Corp. 40 3,255
Genworth Financial Inc. - Class A 175 4,725
Hartford Financial Services Group Inc. 71 4,900
Marsh & McLennan Cos. Inc. 177 5,813
Principal Financial Group 127 5,216
Prudential Financial Inc. 47 2,556
Radian Group Inc. 84 4,456
Safeco Corp. (l) 65 3,401
St. Paul Cos. Inc. 156 5,792
44,509
Iron & Steel - 1.1%
Nucor Corp. 106 5,543
Leisure Time - 0.6%
Harley-Davidson Inc. 48 2,928
Lodging - 1.1%
Fairmont Hotels & Resorts Inc. 147 5,096
Manufacturing - 6.9%
Cooper Industries Ltd. - Class A 44 3,001
Eastman Kodak Co. 57 1,832
Eaton Corp. 43 3,119
General Electric Capital Corp. 338 12,319
Honeywell International Inc. 181 6,392
Pall Corp. 47 1,365
Tyco International Ltd. 152 5,422
33,450
Media - 10.0%
Cablevision Systems Corp. (b) 170 4,243
Comcast Corp. - Class A (b) 35 1,155
Comcast Corp. - Special Class A (b) 200 6,578
Dow Jones & Co. Inc. (l) 102 4,409
Liberty Media Corp. (b) 641 7,040
Liberty Media International Inc. - Class A (b) 26 1,205
New York Times Co. (l) 116 4,741
Pearson Plc 159 1,916
Reuters Group Plc 383 2,779
Time Warner Inc. (b) 309 6,015
Viacom Inc. - Class B 117 4,240
Walt Disney Co. 149 4,139
48,460
Mining - 0.6%
Alcoa Inc. 86 2,685
Oil & Gas Producers - 5.8%
Amerada Hess Corp. 29 2,356
ConocoPhillips 40 3,509
Exxon Mobil Corp. 93 4,788
Royal Dutch Petroleum Co. - NYS 100 5,732
Statoil ASA 290 4,550
Total SA - ADR 67 7,327
28,262
Oil & Gas Services - 1.7%
Baker Hughes Inc. 124 5,274
Schlumberger Ltd. 45 2,979
8,253
Pharmaceuticals - 4.4%
Bristol-Myers Squibb Co. 105 2,682
Cardinal Health Inc. 88 5,106
Merck & Co. Inc. 172 5,512
Schering-Plough Corp. 156 3,251
Wyeth 111 4,710
21,261
Retail - 3.8%
CVS Corp. 73 3,272
Family Dollar Stores Inc. 158 4,941
May Department Stores Co. (l) 175 5,154
McDonald's Corp. 89 2,837
RadioShack Corp. 66 2,157
18,361
Semiconductors - 1.2%
Freescale Semiconductor Inc. (b) 19 357
Intel Corp. 76 1,771
Texas Instruments Inc. 143 3,528
5,656
Software - 1.2%
Microsoft Corp. 221 5,890
Telecommunications - 3.2%
Alltel Corp. 53 3,085
MCI Inc. 71 1,434
Qwest Communications International Inc. (b) 900 3,994
Sprint Corp. - FON Group 234 5,805
TELUS Corp. (b) 10 295
TELUS Corp. 38 1,154
15,767
Tobacco - 0.6%
Altria Group Inc. 49 2,969
Toys & Hobbies - 0.5%
Hasbro Inc. 124 2,407
Transportation - 2.4%
CSX Corp. 138 5,535
Union Pacific Corp. 94 6,328
11,863
Wireless Telecommunications - 1.4%
Motorola Inc. 176 3,032
Nokia Oyj - ADR 248 3,886
6,918
Total Common Stocks (cost $378,822) 456,918
Preferred Stocks - 0.8%
Diversified Financial Services - 0.3%
Lehman Brothers Holdings Inc., 6.25% (b) 48 1,296
Insurance - 0.3%
Genworth Financial Inc., 6.00% 24 762
UnumProvident Corp., 7.25% 32 972
1,734
Sovereign - 0.2%
Fannie Mae, 5.375% (b) - 846
Total Preferred Stocks (cost $3,388) 3,876
Corporate Bonds - 0.3%
Airlines - 0.1%
Delta Air Lines Inc., 2.875%, 02/18/24 (e) (j) (l) $1,030 704
Pharmaceuticals - 0.2%
Schering-Plough Corp., 6.00%, 09/14/07 (j) 17 926
Total Corporate Bonds (cost $1,814) 1,630
Short Term Investments - 11.8%
Money Market Funds - 5.3%
Dreyfus Cash Management Plus, 1.98% (a) 2,392 2,392
T. Rowe Price Reserves Investment Fund,
2.30% (a) (n) 23,465 23,465
25,857
Securities Lending Collateral - 6.5%
Mellon GSL Delaware Business Trust Collateral Fund 31,583 31,583
Total Short Term Investments (cost $57,440) 57,440
Total Investments - 107.1% (cost $441,464) 519,864
Other Assets and Liabilities, Net - (7.1%) (34,704)
Total Net Assets - 100% $ 485,160
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
- --------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 2004.
(b) Non-income producing security.
(c) Investment purchased on a when-issued basis. As of December 31, 2004, the
total cost of investments purchased on a when-issued basis, in thousands,
for the JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total
Return Fund, JNL/Salomon Brothers Strategic Bond Fund and JNL/Salomon
Brothers U.S. Government & Quality Bond Fund are: $29,093; $66,327; $55,299
and $62,380, respectively.
(d) Deferred interest security that receives no current coupon payments until a
predetermined date at which time the stated coupon rate becomes effective.
(e) Rule 144A, Section 4(2) or other security which is restricted as to resale
to institutional investors. The Fund has deemed these securities to be
liquid based on procedures approved by the Board of Trustees. As of
December 31, 2004, the market value, in thousands, of 144A or other
restricted securities, in JNL/FMR Balanced Fund, JNL/JPMorgan International
Value Fund, JNL/Mellon Capital Management Bond Index Fund, JNL/PIMCO Total
Return Bond Fund, JNL/Putnam International Equity Fund, JNL/Salomon
Brothers High Yield Bond Fund, JNL/Salomon Brothers Strategic Bond Fund,
JNL/Salomon Brothers U.S. Government & Quality Bond Fund, JNL/Select
Balanced Fund, JNL/Select Money Market Fund and JNL/T.Rowe Price Value Fund
are: $209; $1,212; $293; $4,961; $541; $41,379; $13,373; $7,040; $3,207;
$6,401 and $704, respectively.
(f) All or a portion of the security pledged as collateral for an investment
purchased on a when-issued basis.
(g) Variable rate security. Rate stated is in effect as of December 31, 2004.
(h) Coupon payment periodically increases over the life of the security. Rate
is in effect as of December 31, 2004.
(i) Security is in default.
(j) Convertible security.
(k) Zero coupon security. Rate stated is the effective yield as of December 31,
2004.
(l) All or portion of the security has been loaned.
(m) All or portion of the security pledged to cover margin requirements on open
futures contracts.
(n) Investments in affiliates. See Note 3 in the Notes to the Financial
Statements.
(o) Sector weightings excluding securities lending collateral.
Abbreviations:
ADR - American Depository Receipt KRW - Korean Won
AUD - Australian Dollar MXN - Mexican Peso
BRL - Brazilian Real NOK - Norwegian Krone
BZD - Belize Dollar NYS - New York Shares
CAD - Canadian Dollar NZD - New Zealand Dollar
CHF - Swiss Franc PEN - New Sol
CLP - Chilean Peso RUB - Russian Ruble
DKK - Danish Krone SEK - Swedish Krona
EUR - European Currency Unit (Euro) SGD - Singapore Dollar
GBP - British Pound SKK - Slovak Koruna
GDR - Global Depository Receipt TWD - New Taiwan Dollar
HKD - Hong Kong Dollar USD - United States Dollar
INR - Indian Rupee ZAR - Rand
JPY - Japanese Yen
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
SCHEDULE OF OPTIONS WRITTEN:
- -----------------------------------------------------------------------------------------------------------------------------
EXPIRATION DATE EXERCISE PRICE CONTRACTS MARKET VALUE (000's)
JNL/PIMCO Total Return Bond Fund
Call Swaption, 3 month LIBOR versus 5.50% fixed 1/7/2005 $ n/a 6 $ (43)
Put Swaption, 3 month LIBOR versus 7.00% fixed 1/7/2005 n/a 6 -
U.S. 10-Year Treasury Note Future Call Option 2/18/2005 114.00 267 (62)
U.S. 10-Year Treasury Note Future Put Option 2/18/2005 108.00 187 (18)
(123) -------------
$ (123)
=============
JNL/Putnam Equity Fund
Career Education Corporation Call Option 1/18/2005 $ 45.08 1,089 $ -
Apple Computer Inc. Put Option 1/21/2005 55.89 1,184 (1)
-------------
$ (1)
SUMMARY OF WRITTEN CALL OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2004 (IN THOUSANDS EXCEPT CONTRACTS):
- -----------------------------------------------------------------------------------------------------------------------------
NUMBER OF CONTRACTS PREMIUMS
JNL/AIM Small Cap Growth Fund
Options outstanding at December 31, 2003 51 $ 7
Options written during the period 692 79
Options closed during the period (140) (22)
Options exercised during the period (490) (46)
Options expired during the period (113) (18)
------------ ------------
Options outstanding at December 31, 2004 - $ -
============ ============
JNL/PIMCO Total Return Bond Fund
Options outstanding at December 31, 2003 238 $ 307
Options written during the period 1,882 971
Options closed during the period (166) (83)
Options exercised during the period (228) (85)
Options expired during the period (1,260) (918)
------------ ------------
Options outstanding at December 31, 2004 466 $ 192
============ ============
JNL/Putnam Equity Fund
Options outstanding at December 31, 2003 - $ -
Options written during the period 119,530 71
Options closed during the period (39,552) (25)
Options exercised during the period (3,716) (4)
Options expired during the period (73,989) (39)
------------ ------------
Options outstanding at December 31, 2004 2,273 $ 3
============ ============
JNL/Putnam Value Equity Fund
Options outstanding at December 31, 2003 - $ -
Options written during the period 61,286 14
Options closed during the period - -
Options exercised during the period - -
Options expired during the period (61,286) (14)
------------ ------------
Options outstanding at December 31, 2004 - $ -
============ ============
Summary of Swap Agreements :
- ------------------------------------------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL AMOUNT APPRECIATION/(DEPRECIATION)
JNL/PIMCO TOTAL RETURN BOND FUND
Barclay's Capital
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 06/15/10 $ 17,300 $ 7
Receive fixed rate equal to 5.00% and pay floating rate
based on 6 month LIBOR, 06/16/11 3,500 75
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 06/18/34 600 (32)
Goldman Sachs Capital Markets, L.P.
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 2.00%, 06/15/12 129,100 (34)
Receive floating rate based on 3 month LIBOR and pay fixed
rate equal to 5.00%, 06/15/15 2,800 25
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/17 400 (8)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/17 700 43
Greenwich Capital Derivatives, Inc.
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 06/15/10 14,200 78
JPMorgan Chase Bank
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 600 48
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 300 (10)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 06/18/34 2,600 209
Lehman Brothers Special Financing Inc.
Receive floating rate based on 3 month LIBOR and pay fixed
rate equal to 5.00%, 06/15/15 7,000 52
Merrill Lynch Capital Services, Inc.
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 06/18/34 400 19
Morgan Stanley Capital Services Inc.
Receive fixed rate equal to 4.00% and pay floating rate
based on 3 month LIBOR, 06/15/07 14,500 (25)
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 2.00%, 06/15/12 130,000 (46)
Receive floating rate based on 3 month LIBOR and pay fixed
rate equal to 5.00%, 06/15/15 18,200 66
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 06/18/34 600 (4)
UBS Warburg AG
Receive fixed rate equal to 5.00% and pay floating rate
based on 6 month LIBOR, 06/16/11 1,900 43
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 2.00%, 06/15/12 380,000 (160)
Receive fixed rate equal to 6.00% and pay floating rate
based on 6 month EURIBOR, 03/15/32 300 22
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 03/15/32 200 (9)
Receive floating rate based on 6 month LIBOR and pay fixed
rate equal to 5.00%, 06/18/34 600 (27)
Wachovia Charlotte Capital Markets
Receive floating rate based on 1 month Lehman Brothers
ERISA-eligible CMBS Index and pay a floating rate
based on 1 month LIBOR MINUS 0.40%, 04/01/05 700 3
-------------
$ 335
=============
SUMMARY OF SECURITIES SOLD SHORT :
- ------------------------------------------------------------------------------------------------------------------------------
PAR AMOUNT MARKET VALUE
JNL/PIMCO Total Return Bond Fund
U.S. Treasury Note, 3.875%, 02/15/13 $ (800) $ (789)
U.S. Treasury Note, 4.75%, 05/15/14 (1,900) (1,980)
------------
Total (proceeds $2,742) $ (2,769)
============
Notes to the Schedule of Investments
December 31, 2004
Summary of Investments by Country:
- ----------------------------------------------------------------------------------------------------------------
JNL/Mellon
JNL/Alliance JNL/FMR Capital JNL/ JNL/ JNL/Salomon
Capital Capital JNL/JPMorgan Management Oppenheimer PIMCO JNL/Putnam Brothers
Growth Growth International International Global Total Return International Strategic
Fund Fund Value Fund Index Fund Growth Fund Bond Fund Equity Fund Bond Fund
- ----------------------------------------------------------------------------------------------------------------
Argentina - % - % - % - % - % - % - % 0.3 %
Australia - - - 4.9 0.4 - 0.8 0.3
Austria - - - 0.3 - - 0.6 -
Bahamas - - - - - - - 0.1
Barbados 1.7 - - - - - - -
Belgium - - - 1.3 - - 0.6 -
Bermuda - 0.2 - - - - 0.6 -
Brazil - 2.6 0.9 - 2.1 0.7 1.2 3.7
Bulgaria - - - - - - - 0.1
Canada 0.7 5.2 - - 2.1 - 1.1 1.0
Cayman Islands - - - - - - - 0.1
China - - - - - - 0.6 -
Colombia - - - - - - - 0.7
Denmark - - - 0.8 - - 0.9 -
Ecuador - - - - - - - 0.5
Finland - - 1.4 1.4 0.1 - 0.1 0.6
France - - 8.4 8.9 7.1 - 12.1 -
Germany 1.4 - 12.1 6.7 2.9 7.8 4.3 2.7
Greece - - - 0.5 - - 0.7 -
Hong Kong - 1.8 2.2 1.6 1.6 - 0.4 -
Hungary - - - - - - 0.1 -
India - - 1.5 - 3.2 - - -
Indonesia - 0.9 0.6 - - - - -
Ireland - 1.0 - 0.9 0.5 - 2.1 -
Israel 1.8 - - - - - - -
Italy - - 3.6 4.2 0.4 - 4.2 0.3
Japan - - 19.5 21.2 8.0 - 20.3 -
Luxembourg - 0.5 - 0.1 - - - -
Malaysia - - - - - - - 0.3
Mexico - - - - 1.6 0.8 0.7 1.3
Morocco - - - - - - - 0.2
Netherlands - - 4.6 4.7 2.1 - 2.4 1.9
New Zealand - - - 0.2 - - 0.1 -
Norway - - - 0.6 0.5 - 0.4 -
Panama - - - - - 0.2 - 0.3
Peru - - - - - 0.3 - 0.7
Philippines - - - - - - - 0.6
Poland - - - - - - 0.1 -
Portugal - - - 0.3 0.3 - - -
Russia - - 0.6 - - 0.5 - 2.9
Singapore - - 1.0 0.8 0.5 - 2.3 -
South Africa - 0.6 - - - - - 0.2
South Korea - - 1.8 - 1.8 - 2.9 -
Spain - - 4.5 4.0 0.4 - 2.6 -
Sweden - - 2.7 2.4 4.6 - 3.5 1.1
Switzerland 1.9 0.5 4.6 6.6 1.7 - 12.5 -
Taiwan 1.7 - 1.3 - 0.8 - 1.2 -
Tunisia - - - - - 0.1 - -
Turkey - - - - - - - 0.7
United Kingdom - - 23.6 24.2 14.5 - 16.8 0.6
United States 90.8 86.7 5.1 3.4 42.8 89.6 3.8 78.8
Venezuela - - - - - - - 0.3
--------------------------------------------------------------------------------------------------
Total
Investments 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
==================================================================================================
- --------------------------------------------------------------
JNL/Select JNL/Select JNL/T.Rowe JNL/T.Rowe
Global Large Cap Price Price
Growth Growth Established Value
Fund Fund Growth Fund Fund
- --------------------------------------------------------------
Argentina - % - % - % - %
Australia - - 0.8 -
Austria - - - -
Bahamas - - - -
Barbados - - - -
Belgium - - - -
Bermuda - 1.2 1.3 -
Brazil - - - -
Bulgaria - - - -
Canada 2.7 5.8 0.4 1.3
Cayman Islands - - - -
China - - - -
Colombia - - - -
Denmark - - - -
Ecuador - - - -
Finland 0.8 - - 0.8
France 5.7 - 0.4 1.5
Germany 5.5 - 0.4 -
Greece - - - -
Hong Kong 2.4 - - -
Hungary - - - -
India 1.1 - - -
Indonesia 0.5 - - -
Ireland 5.2 0.9 0.9 -
Israel - - 0.4 -
Italy 1.4 - - -
Japan 4.9 - - 0.9
Luxembourg 0.6 - - -
Malaysia - - - -
Mexico 1.1 1.1 0.7 -
Morocco - - - -
Netherlands 2.6 - 0.3 2.2
New Zealand - - - -
Norway - - - 0.9
Panama - - - -
Peru - - - -
Philippines - - - -
Poland - - - -
Portugal - - - -
Russia 0.4 - - -
Singapore - - - -
South Africa - - - -
South Korea 0.5 - 0.7 -
Spain 1.1 - 0.4 -
Sweden 2.2 - - -
Switzerland - - 2.0 -
Taiwan - - - -
Tunisia - - - -
Turkey - - - -
United Kingdom 14.3 3.1 2.9 2.0
United States 47.0 87.9 88.4 90.4
Venezuela - - - -
--------------------------------------------------
Total
Investments 100.0% 100.0% 100.0% 100.0%
==================================================
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS (IN THOUSANDS)
DECEMBER 31, 2004
SUMMARY OF OPEN CURRENCY CONTRACTS:
- ------------------------------------------------------------------------------------------------------
CURRENCY SETTLEMENT NOTIONAL CURRENCY UNREALIZED
PURCHASED/SOLD DATE AMOUNT VALUE GAIN/(LOSS)
JNL/FMR Balanced Fund
USD/CAD 1/4/2005 (13) CAD $ (11) $ -
USD/CAD 1/5/2005 (6) CAD (5) -
USD/HKD 1/4/2005 (34) HKD (4) -
----------------- -----------------
$ (20) $ -
================= =================
JNL/FMR Capital Growth Fund
USD/NOK 1/5/2005 (260) NOK $ (43) $ (1)
================= =================
JNL/JPMorgan International Value Fund
AUD/USD 2/22/2005 650 AUD $ 507 $ (4)
AUD/USD 2/22/2005 3,377 AUD 2,636 46
CHF/USD 2/22/2005 600 CHF 529 (1)
CHF/USD 2/22/2005 1,610 CHF 1,420 33
EUR/USD 2/22/2005 3,819 EUR 5,192 173
GBP/USD 2/22/2005 219 GBP 418 (2)
GBP/USD 2/22/2005 1,028 GBP 1,967 75
JPY/USD 2/22/2005 295,032 JPY 2,890 78
SGD/USD 2/22/2005 1,431 SGD 878 11
USD/CHF 2/22/2005 (985) CHF (869) (8)
USD/EUR 2/22/2005 (4,556) EUR (6,194) (225)
USD/GBP 2/22/2005 (662) GBP (1,267) 15
USD/GBP 2/22/2005 (838) GBP (1,603) (61)
USD/HKD 2/22/2005 (3,907) HKD (504) 1
USD/JPY 2/22/2005 (137,964) JPY (1,351) (18)
USD/SEK 2/22/2005 (521) SEK (78) (3)
USD/SGD 2/22/2005 (1,377) SGD (845) (8)
----------------- -----------------
$ 3,726 $ 102
================= =================
JNL/Mellon Capital Management International Index Fund
EUR/USD 3/17/2005 4,217 EUR $ 5,735 $ 121
EUR/USD 3/17/2005 444 EUR 604 (1)
GBP/USD 3/17/2005 615 GBP 1,175 (9)
GBP/USD 3/17/2005 2,159 GBP 4,126 13
JPY/USD 3/17/2005 408,368 JPY 4,006 78
USD/EUR 3/17/2005 (2,010) EUR (2,734) (57)
USD/GBP 3/17/2005 (1,315) GBP (2,513) 1
USD/JPY 3/17/2005 (184,000) JPY (1,805) (37)
----------------- -----------------
$ 8,594 $ 109
================= =================
JNL/PIMCO Total Return Bond Fund
BRL/USD 1/24/2005 107 BRL $ 40 $ 4
BRL/USD 2/22/2005 224 BRL 83 5
BRL/USD 3/14/2005 300 BRL 110 6
CLP/USD 2/3/2005 11,372 CLP 21 2
CLP/USD 2/17/2005 49,418 CLP 89 5
CLP/USD 3/14/2005 60,602 CLP 109 7
EUR/USD 1/10/2005 409 EUR 556 14
HKD/USD 1/26/2005 576 HKD 74 -
INR/USD 3/21/2005 6,422 INR 147 1
JPY/USD 1/27/2005 741,841 JPY 7,253 313
KRW/USD 1/28/2005 85,914 KRW 83 8
KRW/USD 2/24/2005 87,920 KRW 85 3
KRW/USD 3/21/2005 118,000 KRW 114 3
MXN/USD 2/28/2005 399 MXN 36 1
MXN/USD 3/22/2005 1,122 MXN 100 1
PEN/USD 2/22/2005 260 PEN 79 1
PEN/USD 3/17/2005 348 PEN 106 1
RUB/USD 1/26/2005 2,130 RUB 77 3
RUB/USD 2/22/2005 2,153 RUB 78 2
RUB/USD 3/22/2005 3,048 RUB 110 1
SGD/USD 1/26/2005 125 SGD 75 2
SGD/USD 2/24/2005 128 SGD 79 1
SGD/USD 3/21/2005 171 SGD 105 1
SKK/USD 2/28/2005 2,457 SKK 86 4
SKK/USD 3/22/2005 3,343 SKK 117 1
TWD/USD 2/24/2005 2,500 TWD 80 2
TWD/USD 3/21/2005 3,321 TWD 106 3
USD/EUR 1/10/2005 (28,291) EUR (38,455) (557)
USD/JPY 1/6/2005 (181,858) JPY (1,775) (3)
-------------- -----------------
$ (30,232) $ (165)
============== =================
JNL/Putnam International Equity Fund
AUD/USD 4/20/2005 7,419 AUD $ 5,768 $ 60
CHF/USD 3/16/2005 1,582 CHF 1,397 26
CHF/USD 3/16/2005 1,073 CHF 948 (3)
EUR/USD 1/3/2005 23 EUR 31 -
EUR/USD 1/4/2005 13 EUR 18 -
EUR/USD 1/5/2005 21 EUR 29 -
EUR/USD 3/16/2005 695 EUR 946 (5)
EUR/USD 3/16/2005 5,741 EUR 7,808 160
GBP/USD 3/16/2005 5,754 GBP 10,996 100
GBP/USD 3/16/2005 1,128 GBP 2,156 (18)
HKD/USD 1/4/2005 120 HKD 15 -
JPY/USD 1/4/2005 2,110 JPY 21 -
JPY/USD 1/5/2005 722 JPY 7 -
JPY/USD 1/6/2005 485 JPY 5 -
JPY/USD 5/18/2005 142,565 JPY 1,405 21
NOK/USD 3/16/2005 2,804 NOK 464 8
SEK/USD 3/16/2005 1,534 SEK 231 3
SEK/USD 3/16/2005 9,305 SEK 1,402 (1)
USD/AUD 4/20/2005 (1,821) AUD (1,416) (30)
USD/CAD 4/20/2005 (558) CAD (466) (2)
USD/CAD 4/20/2005 (1,056) CAD (881) 6
USD/CHF 3/16/2005 (5,502) CHF (4,857) (8)
USD/CHF 3/16/2005 (4,963) CHF (4,381) 10
USD/EUR 3/16/2005 (2,930) EUR (3,985) (66)
USD/EUR 3/16/2005 (1,041) EUR (1,416) 4
USD/GBP 3/16/2005 (946) GBP (1,808) 12
USD/JPY 5/18/2005 (210,998) JPY (2,080) (21)
USD/JPY 5/18/2005 (324,869) JPY (3,203) 3
USD/KRW 1/3/2005 (88,898) KRW (86) -
USD/SEK 3/16/2005 (18,372) SEK (2,769) (38)
USD/SGD 1/3/2005 (50) SGD (30) -
USD/SGD 1/4/2005 (9) SGD (6) -
USD/SGD 1/5/2005 (5) SGD (3) -
-------------- -----------------
$ 6,260 $ 221
============== =================
JNL/Salomon Brothers Strategic Bond Fund
EUR/USD 2/24/2005 16,712 EUR $ 22,724 $ 931
SEK/USD 2/24/2005 754 SEK 114 4
USD/EUR 2/24/2005 (28,218) EUR (38,369) (1,253)
USD/SEK 2/24/2005 (3,400) SEK (3,448) (48)
---------------- ---------------
$ (18,979) $ (366)
================ ===============
JNL/Select Global Growth Fund
EUR/USD 1/3/2005 162 EUR $ 220 $ -
EUR/USD 1/4/2005 41 EUR 56 -
---------------- ---------------
$ 276 $ -
================ ===============
JNL SERIES TRUST
NOTES TO THE SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
SCHEDULE OF FUTURES CONTRACTS (IN THOUSANDS EXCEPT CONTRACTS):
- --------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------
Contracts Unrealized
Long/ Appreciation/
(Short) (Depreciation)
JNL/JPMorgan International Value Fund
Dow Jones Euro Stoxx 50 Future
Expiration March 2005 44 $ -
FTSE 100 Index Future
Expiration March 2005 11 6
Topix Japanese Yen Future
Expiration March 2005 4 15
--------------------
--------------------
$ 21
====================
====================
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
S&P 500 Index Future
Expiration March 2005 17 $ 110
====================
====================
JNL/Mellon Capital Management International Index Fund
Dow Jones Euro Stoxx 50 Future
Expiration March 2005 110 $ 8
FTSE 100 Index Future
Expiration March 2005 35 37
Topix Japanese Yen Future
Expiration March 2005 25 89
--------------------
--------------------
$ 134
====================
====================
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
S&P MidCap 400 E-Mini Future
Expiration March 2005 110 $ 114
====================
====================
JNL/Mellon Capital Management S&P 500 Index Fund
S&P 500 E-Mini Future
Expiration March 2005 172 $ 89
====================
====================
JNL/Mellon Capital Management Small Cap Index Fund
Russell 2000 Mini Index Future
Expiration March 2005 24 $ 4
====================
====================
- ----------------------------------------------------------------------------------------------
Unrealized
Notional Appreciation/
Amount (Depreciation)
JNL/PIMCO Total Return Fund
British Pound Sterling Future Option
Expiration June 2005 12,000 GBP $ 10
Euro Bund Future
Expiration March 2005 7,000 EUR (35)
Eurodollar Future
Expiration June 2005 5,000 USD (6)
Eurodollar Future
Expiration September 2005 453,000 USD (319)
Eurodollar Future
Expiration December 2005 261,000 USD (46)
Eurodollar Future Option
Expiration June 2005 52,000 EUR (8)
Japanese Government Bond, 10-Year, 6.00%,
Expiration March 2005 500,000 JPY 12
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration March 2005 25,300 USD (301)
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2005 40,700 USD (95)
-----------------
-----------------
$ (788)
=================
=================
JNL/Salomon Brothers Strategic Bond Fund
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration March 2005 $ 7,500 $ 77
U.S. Treasury Note Future, 2-Year, 6.00%,
Expiration March 2005 (10,000) 8
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration March 2005 (2,000) 7
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2005 (21,600) 110
-----------------
-----------------
$ 202
=================
=================
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
U.S. Treasury Bond Future, 20-Year, 6.00%,
Expiration March 2005 $ 20,100 $ 219
U.S. Treasury Note Future, 2-Year, 6.00%,
Expiration March 2005 (14,600) 11
U.S. Treasury Note Future, 5-Year, 6.00%,
Expiration March 2005 (4,200) 15
U.S. Treasury Note Future, 10-Year, 6.00%,
Expiration March 2005 (800) 4
-----------------
-----------------
$ 249
=================
=================
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2004
JNL/AIM JNL/AIM JNL/Alger JNL/Alliance
Large Cap Small Cap Growth Capital Growth
ASSETS Growth Fund Growth Fund Fund Fund
------------------ ----------------- ----------------- -------------------
Investments - unaffiliated, at value (a) (b) $ 196,749 $ 49,786 $ 325,894 $ 46,345
Investments - affiliated, at value and cost - - - -
Cash - - - 113
Foreign currency (c) - - - -
Receivables:
Dividends and interest 230 9 251 20
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 171 9 183 32
Investment securities sold - 564 - 179
Variation margin - - - -
------------------ ----------------- ----------------- -------------------
TOTAL ASSETS 197,150 50,368 326,328 46,689
------------------ ----------------- ----------------- -------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 16 3 25 4
Advisory fees 119 32 171 22
Investment securities purchased - 155 - 255
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 145 52 241 14
Swap agreements, net - - - -
Trustees fees 1 - 2 1
Other expenses 2 1 4 -
12b-1 service fee (Class A) 32 7 49 8
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 5,808 5,753 33,191 1,415
------------------ ----------------- ----------------- -------------------
TOTAL LIABILITIES 6,123 6,003 33,683 1,719
------------------ ----------------- ----------------- -------------------
NET ASSETS $ 191,027 $ 44,365 $ 292,645 $ 44,970
================== ================= ================= ===================
NET ASSETS CONSIST OF:
Paid-in capital $ 173,358 $ 37,439 $ 376,907 $ 103,679
Undistributed (accumulated) net
investment income (loss) 116 - 252 14
Accumulated net realized gain (loss) (4,849) (955) (113,809) (63,649)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 22,402 7,881 29,295 4,926
------------------ ----------------- ----------------- -------------------
$ 191,027 $ 44,365 $ 292,645 $ 44,970
================== ================= ================= ===================
CLASS A
Net assets $ 191,003 $ 44,358 $ 292,638 $ 44,967
Shares outstanding (no par value),
unlimited shares authorized 16,362 3,558 18,875 4,274
Net asset value per share $ 11.67 $ 12.47 $ 15.50 $ 10.52
================== ================= ================= ===================
CLASS B
Net assets $ 24 $ 7 $ 7 $ 3
Shares outstanding (no par value),
unlimited shares authorized 1 1 - -
Net asset value per share $ 11.69 $ 12.48 $ 15.50 $ 10.54
================== ================= ================= ===================
- -----------------------------------------------
(a) Including securities on loan of: $ 5,640 $ 5,568 $ 32,046 $ 1,365
(b) Investments - unaffiliated, at cost 174,347 41,905 296,599 41,419
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
JNL/Eagle JNL/Eagle
Core Equity SmallCap
ASSETS Fund Equity Fund
------------------ ------------------
Investments - unaffiliated, at value (a) (b) $ 363,212 $ 190,564
Investments - affiliated, at value and cost - -
Cash - 6
Foreign currency (c) - -
Receivables:
Dividends and interest 410 30
Forward currency contracts - -
Foreign taxes recoverable 1 -
Fund shares sold 303 105
Investment securities sold 2,132 -
Variation margin - -
------------------ ------------------
TOTAL ASSETS 366,058 190,705
------------------ ------------------
.
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 30 14
Advisory fees 191 104
Investment securities purchased 1,700 -
Dividends payable - -
Forward currency contracts - -
Fund shares redeemed 178 71
Swap agreements, net - -
Trustees fees 2 1
Other expenses 4 2
12b-1 service fee (Class A) 60 28
Variation margin - -
Investment securities sold short, at value (d) - -
Options written, at value (e) - -
Return of collateral for securities loaned 5,895 20,732
------------------ ------------------
TOTAL LIABILITIES 8,060 20,952
------------------ ------------------
NET ASSETS $ 357,998 $ 169,753
================== ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 355,618 $ 139,600
Undistributed (accumulated) net
investment income (loss) 60 -
Accumulated net realized gain (loss) (32,298) (12,879)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 34,618 43,032
------------------ ------------------
$ 357,998 $ 169,753
================== ==================
CLASS A
Net assets $ 357,978 $ 169,746
Shares outstanding (no par value),
unlimited shares authorized 23,923 8,499
Net asset value per share $ 14.96 $ 19.97
================== ==================
CLASS B
Net assets $ 20 $ 7
Shares outstanding (no par value),
unlimited shares authorized 1 -
Net asset value per share $ 15.02 $ 20.02
================== ==================
- -----------------------------------------------
(a) Including securities on loan of: $ 5,674 $ 19,916
(b) Investments - unaffiliated, at cost 328,594 147,532
(c) Foreign currency cost - -
(d) Proceeds from securities sold short - -
(e) Premiums from options written - -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2004
JNL/FMR JNL/FMR JNL/JPMorgan JNL/Lazard
Balanced Capital International Mid Cap
ASSETS Fund Growth Fund Value Fund Value Fund
------------------ ----------------- -------------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 139,026 $ 235,992 $ 84,570 $ 237,317
Investments - affiliated, at value and cost - - - -
Cash - - - -
Foreign currency (c) 1 2 668 -
Receivables:
Dividends and interest 363 180 93 164
Forward currency contracts - - 432 -
Foreign taxes recoverable 4 - 7 -
Fund shares sold 79 92 112 474
Investment securities sold 260 1,624 - 669
Variation margin - - - -
------------------ ----------------- -------------------- -----------------
TOTAL ASSETS 139,733 237,890 85,882 238,624
------------------ ----------------- -------------------- -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 9 17 10 18
Advisory fees 61 122 50 136
Investment securities purchased 86 1,882 - 2,610
Dividends payable - - - -
Forward currency contracts - 1 330 -
Fund shares redeemed 278 109 18 118
Swap agreements, net - - - -
Trustees fees 1 1 - 1
Other expenses 1 2 1 2
12b-1 service fee (Class A) 17 35 13 36
Variation margin - - 7 -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 34,714 25,316 3,367 13,132
------------------ ----------------- -------------------- -----------------
TOTAL LIABILITIES 35,167 27,485 3,796 16,053
------------------ ----------------- -------------------- -----------------
NET ASSETS $ 104,566 $ 210,405 $ 82,086 $ 222,571
================== ================= ==================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 99,148 $ 526,654 $ 70,047 $ 189,279
Undistributed (accumulated) net
investment income (loss) 11 597 139 44
Accumulated net realized gain (loss) (3,031) (338,438) 1,326 5,003
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 8,438 21,592 10,574 28,245
------------------ ----------------- -------------------- -----------------
$ 104,566 $ 210,405 $ 82,086 $ 222,571
================== ================= ==================== =================
CLASS A
Net assets $ 104,564 $ 210,402 $ 82,081 $ 222,542
Shares outstanding (no par value),
unlimited shares authorized 10,435 13,423 8,835 15,176
Net asset value per share $ 10.02 $ 15.67 $ 9.29 $ 14.66
================== ================= ==================== =================
CLASS B
Net assets $ 2 $ 3 $ 5 $ 29
Shares outstanding (no par value),
unlimited shares authorized - - 1 2
Net asset value per share $ 10.10 $ 15.70 $ 9.37 $ 14.70
================== ================= ==================== =================
- -----------------------------------------------
$ 33,974 $ 24,503 $ 3,189 $ 12,737
(a) Including securities on loan of: 130,589 214,400 74,133 209,072
(b) Investments - unaffiliated, at cost 1 2 655 -
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written
JNL/Mellon
Capital
JNL/Lazard Management
Small Cap Bond Index
ASSETS Value Fund Fund
------------------- -------------------
Investments - unaffiliated, at value (a) (b) $ 232,366 $ 140,966
Investments - affiliated, at value and cost - 38,233
Cash - -
Foreign currency (c) - -
Receivables:
Dividends and interest 124 1,030
Forward currency contracts - -
Foreign taxes recoverable - -
Fund shares sold 234 428
Investment securities sold 1,150 1,452
Variation margin - -
------------------- -------------------
TOTAL ASSETS 233,874 182,109
------------------- -------------------
LIABILITIES
Cash overdraft - -
Payables:
Administrative fees 18 10
Advisory fees 145 29
Investment securities purchased 277 29,695
Dividends payable - -
Forward currency contracts - -
Fund shares redeemed 344 41
Swap agreements, net - -
Trustees fees 1 1
Other expenses 2 1
12b-1 service fee (Class A) 36 19
Variation margin - -
Investment securities sold short, at value (d) - -
Options written, at value (e) - -
Return of collateral for securities loaned 14,173 35,856
------------------- -------------------
TOTAL LIABILITIES 14,996 65,652
------------------- -------------------
NET ASSETS $ 218,878 $ 116,457
=================== ===================
NET ASSETS CONSIST OF:
Paid-in capital $ 187,197 $ 111,269
Undistributed (accumulated) net
investment income (loss) 78 3,554
Accumulated net realized gain (loss) 4,640 961
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 26,963 673
------------------- -------------------
$ 218,878 $ 116,457
=================== ===================
CLASS A
Net assets $ 218,851 $ 116,440
Shares outstanding (no par value),
unlimited shares authorized 15,846 10,749
Net asset value per share $ 13.81 $ 10.83
=================== ===================
CLASS B
Net assets $ 27 $ 17
Shares outstanding (no par value),
unlimited shares authorized 2 2
Net asset value per share $ 13.84 $ 10.76
=================== ===================
- -----------------------------------------------
$ 13,437 $ 35,168
(a) Including securities on loan of: 205,403 140,293
(b) Investments - unaffiliated, at cost - -
(c) Foreign currency cost - -
(d) Proceeds from securities sold short - -
(e) Premiums from options written
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2004
JNL/Mellon
Capital JNL/Mellon JNL/Mellon
Management Capital Capital
Enhanced Management Management
S&P 500 Stock International S&P 400 MidCap
ASSETS Index Fund Index Fund Index Fund
------------------------- ------------------- -----------------------
Investments - unaffiliated, at value (a) (b) $ 176,796 $ 287,722 $ 191,633
Investments - affiliated, at value and cost 14,237 27,897 26,360
Cash - - -
Foreign currency (c) - 204 -
Receivables:
Dividends and interest 223 345 137
Forward currency contracts - 213 -
Foreign taxes recoverable - 20 -
Fund shares sold 143 573 648
Investment securities sold 1,565 86 105
Variation margin - - 20
------------------------- ------------------- -----------------------
TOTAL ASSETS 192,964 317,060 218,903
------------------------- ------------------- -----------------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 15 36 16
Advisory fees 70 72 47
Investment securities purchased 4,465 - -
Dividends payable - - -
Forward currency contracts - 104 -
Fund shares redeemed 30 234 652
Swap agreements, net - - -
Trustees fees 1 2 1
Other expenses 2 2 2
12b-1 service fee (Class A) 30 48 33
Variation margin 5 10 -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 6,898 18,404 19,311
------------------------- ------------------- -----------------------
TOTAL LIABILITIES 11,516 18,912 20,062
------------------------- ------------------- -----------------------
NET ASSETS $ 181,448 $ 298,148 $ 198,841
========================= =================== =======================
NET ASSETS CONSIST OF:
Paid-in capital $ 162,267 $ 241,490 $ 165,176
Undistributed (accumulated) net
investment income (loss) 1,821 3,689 837
Accumulated net realized gain (loss) 3,105 1,199 4,013
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 14,255 51,770 28,815
------------------------- ------------------- -----------------------
$ 181,448 $ 298,148 $ 198,841
========================= =================== =======================
CLASS A
Net assets $ 181,444 $ 298,098 $ 198,751
Shares outstanding (no par value),
unlimited shares authorized 20,614 21,809 14,966
Net asset value per share $ 8.80 $ 13.67 $ 13.28
========================= =================== =======================
CLASS B
Net assets $ 4 $ 50 $ 90
Shares outstanding (no par value),
unlimited shares authorized 1 4 7
Net asset value per share $ 8.73 $ 13.66 $ 13.27
========================= =================== =======================
- -----------------------------------------------
$ 6,642 $ 17,471 $ 18,674
(a) Including securities on loan of: 162,651 236,206 162,932
(b) Investments - unaffiliated, at cost - 201 -
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written
JNL/Mellon JNL/Mellon
Capital Capital JNL/
Management Management Oppenheimer JNL/
S&P 500 Index Small Cap Global Oppenheimer
ASSETS Fund Index Fund Growth Fund Growth Fund
-------------------- -------------------- ------------------ -----------------
Investments - unaffiliated, at value (a) (b) $ 351,415 $ 171,660 $ 258,121 $ 27,007
Investments - affiliated, at value and cost 17,477 20,823 - -
Cash - - - -
Foreign currency (c) - - 27 -
Receivables:
Dividends and interest 464 218 348 14
Forward currency contracts - - - -
Foreign taxes recoverable - - 4 -
Fund shares sold 723 986 309 24
Investment securities sold 16 - - 52
Variation margin - 1 - -
-------------------- -------------------- ------------------ -----------------
TOTAL ASSETS 370,095 193,688 258,809 27,097
-------------------- -------------------- ------------------ -----------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 30 14 29 2
Advisory fees 86 41 136 14
Investment securities purchased 30 6,004 - 98
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 156 149 148 4
Swap agreements, net - - - -
Trustees fees 2 1 1 -
Other expenses 3 1 2 1
12b-1 service fee (Class A) 59 28 39 4
Variation margin 9 - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 7,636 13,543 23,383 2,494
-------------------- -------------------- ------------------ -----------------
TOTAL LIABILITIES 8,011 19,781 23,738 2,617
-------------------- -------------------- ------------------ -----------------
NET ASSETS $ 362,084 $ 173,907 $ 235,071 $ 24,480
==================== ==================== ================== =================
NET ASSETS CONSIST OF:
Paid-in capital $ 317,432 $ 140,813 $ 196,500 $ 24,547
Undistributed (accumulated) net
investment income (loss) 5 955 459 33
Accumulated net realized gain (loss) 652 5,049 (4,762) (2,025)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 43,995 27,090 42,874 1,925
-------------------- -------------------- ------------------ -----------------
$ 362,084 $ 173,907 $ 235,071 $ 24,480
==================== ==================== ================== =================
CLASS A
Net assets $ 361,845 $ 173,822 $ 235,047 $ 24,479
Shares outstanding (no par value),
unlimited shares authorized 33,929 12,939 19,721 2,835
Net asset value per share $ 10.66 $ 13.43 $ 11.92 $ 8.63
==================== ==================== ================== =================
CLASS B
Net assets $ 239 $ 85 $ 24 $ 1
Shares outstanding (no par value),
unlimited shares authorized 22 6 2 -
Net asset value per share $ 10.72 $ 13.39 $ 11.93 $ 8.64
==================== ==================== ================== =================
- -----------------------------------------------
$ 7,356 $ 12,665 $ 22,162 $ 2,417
(a) Including securities on loan of: 307,510 144,574 215,251 25,082
(b) Investments - unaffiliated, at cost - - 27 -
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2004
JNL/PIMCO JNL/Putnam JNL/Putnam JNL/Putnam
Total Return Equity International Midcap
ASSETS Bond Fund Fund Equity Fund Growth Fund
------------------ ------------------ ------------------- -------------------
Investments - unaffiliated, at value (a) (b) $ 505,607 $ 162,818 $ 101,027 $ 38,203
Investments - affiliated, at value (f) - - - -
Cash 9,205 - 115 -
Foreign currency (c) 1,617 2 200 -
Receivables:
Dividends and interest 1,829 181 121 7
Forward currency contracts 395 - 413 -
Foreign taxes recoverable - - 11 -
Fund shares sold 659 1 9 18
Investment securities sold 2,819 1,388 262 -
Variation margin 362 - - -
------------------ ------------------ ------------------- -------------------
TOTAL ASSETS 522,493 164,390 102,158 38,228
------------------ ------------------ ------------------- -------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 32 13 12 3
Advisory fees 162 85 61 21
Investment securities purchased 76,530 1,125 243 -
Dividends payable - - - -
Forward currency contracts 560 - 192 -
Fund shares redeemed 178 116 199 23
Swap agreements, net 667 - - -
Trustees fees 3 1 1 -
Other expenses 4 2 1 -
12b-1 service fee (Class A) 65 26 16 6
Variation margin - - - -
Investment securities sold short, at value (d) 2,769 - - -
Options written, at value (e) 123 1 - -
Return of collateral for securities loaned 51,246 13,341 6,434 4,345
------------------ ------------------ ------------------- -------------------
TOTAL LIABILITIES 132,339 14,710 7,159 4,398
------------------ ------------------ ------------------- -------------------
NET ASSETS $ 390,154 $ 149,680 $ 94,999 $ 33,830
================== ================== =================== ===================
NET ASSETS CONSIST OF:
Paid-in capital $ 369,752 $ 254,987 $ 108,351 $ 49,221
Undistributed (accumulated) net
investment income (loss) 5,577 1,263 153 -
Accumulated net realized gain (loss) 10,926 (125,939) (32,106) (20,919)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 3,899 19,369 18,601 5,528
------------------ ------------------ ------------------- -------------------
$ 390,154 $ 149,680 $ 94,999 $ 33,830
================== ================== =================== ===================
CLASS A
Net assets $ 390,124 $ 149,669 $ 94,998 $ 33,829
Shares outstanding (no par value),
unlimited shares authorized 32,606 8,051 8,609 4,179
Net asset value per share $ 11.96 $ 18.59 $ 11.04 $ 8.09
================== ================== =================== ===================
CLASS B
Net assets $ 30 $ 11 $ 1 $ 1
Shares outstanding (no par value),
unlimited shares authorized 3 1 - -
Net asset value per share $ 12.15 $ 18.59 $ 11.06 $ 8.11
================== ================== =================== ===================
- --------------------------------------------
(a) Including securities on loan of: $ 50,504 $ 12,944 $ 6,128 $ 4,211
(b) Investments - unaffiliated, at cost 501,164 143,451 82,651 32,675
(c) Foreign currency cost 1,602 2 199 -
(d) Proceeds from securities sold short 2,742 - - -
(e) Premiums from options written 192 3 - -
(f) Investments - affiliated, at cost - - - -
JNL/S&P JNL/S&P
JNL/Putnam Managed Managed
Value Aggressive Conservative
ASSETS Equity Fund Growth Fund Fund
---------------- ----------------- -----------------
Investments - unaffiliated, at value (a) (b) $ 224,955 $ - $ -
Investments - affiliated, at value (f) - 670,800 13,836
Cash - - -
Foreign currency (c) 4 - -
Receivables:
Dividends and interest 309 50 3
Forward currency contracts - - -
Foreign taxes recoverable - - -
Fund shares sold 23 493 74
Investment securities sold 144 - -
Variation margin - - -
---------------- ----------------- -----------------
TOTAL ASSETS 225,435 671,343 13,913
---------------- ----------------- -----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 18 28 1
Advisory fees 118 66 1
Investment securities purchased 67 - -
Dividends payable - - -
Forward currency contracts - - -
Fund shares redeemed 69 526 2
Swap agreements, net - - -
Trustees fees 2 5 -
Other expenses 3 7 -
12b-1 service fee (Class A) 36 - -
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 9,506 - -
---------------- ----------------- -----------------
TOTAL LIABILITIES 9,819 632 4
---------------- ----------------- -----------------
NET ASSETS $ 215,616 $ 670,711 $ 13,909
================ ================= =================
NET ASSETS CONSIST OF:
Paid-in capital $ 232,175 $ 727,380 $ 13,661
Undistributed (accumulated) net
investment income (loss) 5 2,889 198
Accumulated net realized gain (loss) (45,239) (138,665) 71
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 28,675 79,107 (21)
---------------- ----------------- -----------------
$ 215,616 $ 670,711 $ 13,909
================ ================= =================
CLASS A
Net assets $ 215,615 $ 670,711 $ 13,909
Shares outstanding (no par value),
unlimited shares authorized 12,376 56,393 1,343
Net asset value per share $ 17.42 $ 11.89 $ 10.35
================ ================= =================
CLASS B
Net assets $ 1 n/a n/a
Shares outstanding (no par value),
unlimited shares authorized - n/a n/a
Net asset value per share $ 17.48 n/a n/a
================ ================= =================
- --------------------------------------------
(a) Including securities on loan of: $ 9,238 $ - $ -
(b) Investments - unaffiliated, at cost 196,280 - -
(c) Foreign currency cost 4 - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
(f) Investments - affiliated, at cost - 591,693 13,857
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2004
JNL/S&P JNL/S&P JNL/Salomon
JNL/S&P Managed Managed Brothers
Managed Moderate Moderate High Yield
ASSETS Growth Fund Fund Growth Fund Bond Fund
--------------------- ------------------ -------------------- ------------------
Investments - unaffiliated, at value (a) (b) $ - $ - $ - $ 348,486
Investments - affiliated, at value (f) 1,001,637 19,344 618,550 -
Cash - - - -
Foreign currency (c) - - - -
Receivables:
Dividends and interest 72 3 41 5,066
Forward currency contracts - - - -
Foreign taxes recoverable - - - -
Fund shares sold 535 534 882 606
Investment securities sold - - - -
Variation margin - - - -
--------------------- ------------------ -------------------- ------------------
TOTAL ASSETS 1,002,244 19,881 619,473 354,158
--------------------- ------------------ -------------------- ------------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 42 1 26 24
Advisory fees 88 2 62 118
Investment securities purchased - - - -
Dividends payable - - - -
Forward currency contracts - - - -
Fund shares redeemed 535 5 268 195
Swap agreements, net - - - -
Trustees fees 7 - 4 2
Other expenses 10 - 7 3
12b-1 service fee (Class A) - - - 48
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned - - - 68,806
--------------------- ------------------ -------------------- ------------------
TOTAL LIABILITIES 682 8 367 69,196
--------------------- ------------------ -------------------- ------------------
NET ASSETS $ 1,001,562 $ 19,873 $ 619,106 $ 284,962
===================== ================== ==================== ==================
NET ASSETS CONSIST OF:
Paid-in capital $ 928,945 $ 19,408 $ 583,169 $ 320,294
Undistributed (accumulated) net
investment income (loss) 3,803 257 1,954 1
Accumulated net realized gain (loss) (33,586) 111 (20,216) (49,204)
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 102,400 97 54,199 13,871
--------------------- ------------------ -------------------- ------------------
$ 1,001,562 $ 19,873 $ 619,106 $ 284,962
===================== ================== ==================== ==================
CLASS A
Net assets $ 1,001,562 $ 19,873 $ 619,106 $ 284,949
Shares outstanding (no par value),
unlimited shares authorized 81,909 1,886 53,040 33,495
Net asset value per share $ 12.23 $ 10.54 $ 11.67 $ 8.51
===================== ================== ==================== ==================
CLASS B
Net assets n/a n/a n/a $ 13
Shares outstanding (no par value),
unlimited shares authorized n/a n/a n/a 2
Net asset value per share n/a n/a n/a $ 8.66
===================== ================== ==================== ==================
- ----------------------------------------------
(a) Including securities on loan of: $ - $ - $ - $ 67,160
(b) Investments - unaffiliated, at cost - - - 334,615
(c) Foreign currency cost - - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
(f) Investments - affiliated, at cost 899,237 19,247 564,351 -
JNL/Salomon
JNL/Salomon Brothers
Brothers U.S. Government JNL/Select
Strategic Bond & Quality Balanced
ASSETS Fund Bond Fund Fund
-------------------- ------------------------ ----------------
Investments - unaffiliated, at value (a) (b) $ 335,241 $ 288,347 $ 418,466
Investments - affiliated, at value (f) - - -
Cash 144 - -
Foreign currency (c) 304 - 8
Receivables:
Dividends and interest 2,817 1,240 1,245
Forward currency contracts 935 - -
Foreign taxes recoverable - - -
Fund shares sold 392 223 175
Investment securities sold - 10,350 275
Variation margin 56 151 -
-------------------- ------------------------ ----------------
TOTAL ASSETS 339,889 300,311 420,169
-------------------- ------------------------ ----------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 19 17 32
Advisory fees 123 81 154
Investment securities purchased 55,456 72,920 421
Dividends payable - - -
Forward currency contracts 1,301 - -
Fund shares redeemed 87 84 133
Swap agreements, net - - -
Trustees fees 2 2 3
Other expenses 3 2 4
12b-1 service fee (Class A) 39 33 63
Variation margin 67 18 -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 46,078 29,278 38,021
-------------------- ------------------------ ----------------
TOTAL LIABILITIES 103,175 102,435 38,831
-------------------- ------------------------ ----------------
NET ASSETS $ 236,714 $ 197,876 $ 381,338
==================== ======================== ================
NET ASSETS CONSIST OF:
Paid-in capital $ 226,906 $ 193,441 $ 311,099
Undistributed (accumulated) net
investment income (loss) 415 262 7,680
Accumulated net realized gain (loss) 1,414 1,001 37,589
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 7,979 3,172 24,970
-------------------- ------------------------ ----------------
$ 236,714 $ 197,876 $ 381,338
==================== ======================== ================
CLASS A
Net assets $ 236,706 $ 197,863 $ 381,316
Shares outstanding (no par value),
unlimited shares authorized 20,641 17,487 22,267
Net asset value per share $ 11.47 $ 11.31 $ 17.12
==================== ======================== ================
CLASS B
Net assets $ 8 $ 13 $ 22
Shares outstanding (no par value),
unlimited shares authorized 1 1 1
Net asset value per share $ 11.84 $ 11.71 $ 16.98
==================== ======================== ================
- ----------------------------------------------
(a) Including securities on loan of: $ 44,779 $ 28,718 $ 37,220
(b) Investments - unaffiliated, at cost 327,144 285,425 393,496
(c) Foreign currency cost 301 - 8
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
(f) Investments - affiliated, at cost - - -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (IN THOUSANDS, EXCEPT NET ASSET VALUE PER SHARE)
DECEMBER 31, 2004
JNL/Select JNL/Select JNL/Select
Global Growth Large Cap Money JNL/Select
ASSETS Fund Growth Fund Market Fund Value Fund
----------------- ----------------- ----------------- ---------------
Investments - unaffiliated, at value (a) (b) $ 227,412 $ 309,340 $ 237,686 $ 157,195
Investments - affiliated, at value and cost - - - -
Cash 5 - - -
Foreign currency (c) 309 - - -
Receivables:
Dividends and interest 129 90 98 153
Forward currency contracts - - - -
Foreign taxes recoverable 8 - - -
Fund shares sold 51 101 722 216
Investment securities sold - 887 - -
Variation margin - - - -
----------------- ----------------- ----------------- ---------------
TOTAL ASSETS 227,914 310,418 238,506 157,564
----------------- ----------------- ----------------- ---------------
LIABILITIES
Cash overdraft - - - -
Payables:
Administrative fees 28 25 20 13
Advisory fees 135 168 60 70
Investment securities purchased 302 1,871 - 10
Dividends payable - - 316 -
Forward currency contracts - - - -
Fund shares redeemed 144 166 213 80
Swap agreements, net - - - -
Trustees fees 2 2 1 1
Other expenses 2 4 3 2
12b-1 service fee (Class A) 37 50 40 25
Variation margin - - - -
Investment securities sold short, at value (d) - - - -
Options written, at value (e) - - - -
Return of collateral for securities loaned 9,311 12,639 - 3,053
----------------- ----------------- ----------------- ---------------
TOTAL LIABILITIES 9,961 14,925 653 3,254
----------------- ----------------- ----------------- ---------------
NET ASSETS $ 217,953 $ 295,493 $ 237,853 $ 154,310
================= ================= ================= ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 351,662 $ 579,062 $ 237,853 $ 126,074
Undistributed (accumulated) net
investment income (loss) 971 - - 1,880
Accumulated net realized gain (loss) (163,020) (309,585) - 14,689
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 28,340 26,016 - 11,667
----------------- ----------------- ----------------- ---------------
$ 217,953 $ 295,493 $ 237,853 $ 154,310
================= ================= ================= ===============
CLASS A
Net assets $ 217,952 $ 295,491 $ 237,815 $ 154,283
Shares outstanding (no par value),
unlimited shares authorized 11,231 14,996 237,815 9,233
Net asset value per share $ 19.41 $ 19.71 $ 1.00 $ 16.71
================= ================= ================= ===============
CLASS B
Net assets $ 1 $ 2 $ 38 $ 27
Shares outstanding (no par value),
unlimited shares authorized - - 38 2
Net asset value per share $ 19.45 $ 19.75 $ 1.00 $ 16.68
================= ================= ================= ===============
- --------------------------------------------
(a) Including securities on loan of: $ 8,984 $ 12,276 $ - $ 2,973
(b) Investments - unaffiliated, at cost 199,075 283,324 237,686 145,528
(c) Foreign currency cost 308 - - -
(d) Proceeds from securities sold short - - - -
(e) Premiums from options written - - - -
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
Established Mid-Cap Value
ASSETS Growth Fund Growth Fund Fund
------------------ ------------------ ---------------
Investments - unaffiliated, at value (a) (b) $ 630,202 $ 560,848 $ 496,399
Investments - affiliated, at value and cost 10,780 19,470 23,465
Cash - - -
Foreign currency (c) - - -
Receivables:
Dividends and interest 610 197 663
Forward currency contracts - - -
Foreign taxes recoverable 7 - -
Fund shares sold 592 614 415
Investment securities sold 1 352 81
Variation margin - - -
------------------ ------------------ ---------------
TOTAL ASSETS 642,192 581,481 521,023
------------------ ------------------ ---------------
LIABILITIES
Cash overdraft - - -
Payables:
Administrative fees 51 45 40
Advisory fees 309 320 273
Investment securities purchased - 93 3,584
Dividends payable - - -
Forward currency contracts - - -
Fund shares redeemed 299 429 295
Swap agreements, net - - -
Trustees fees 5 4 3
Other expenses 7 6 5
12b-1 service fee (Class A) 101 89 80
Variation margin - - -
Investment securities sold short, at value (d) - - -
Options written, at value (e) - - -
Return of collateral for securities loaned 34,511 38,723 31,583
------------------ ------------------ ---------------
TOTAL LIABILITIES 35,283 39,709 35,863
------------------ ------------------ ---------------
NET ASSETS $ 606,909 $ 541,772 $ 485,160
================== ================== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 596,119 $ 406,796 $ 389,723
Undistributed (accumulated) net
investment income (loss) 595 1 4,185
Accumulated net realized gain (loss) (75,543) 782 12,852
Net unrealized appreciation (depreciation) on
investments, foreign currency related
transactions and futures 85,738 134,193 78,400
------------------ ------------------ ---------------
$ 606,909 $ 541,772 $ 485,160
================== ================== ===============
CLASS A
Net assets $ 606,885 $ 541,739 $ 485,126
Shares outstanding (no par value),
unlimited shares authorized 33,062 19,440 35,578
Net asset value per share $ 18.36 $ 27.87 $ 13.64
================== ================== ===============
CLASS B
Net assets $ 24 $ 33 $ 34
Shares outstanding (no par value),
unlimited shares authorized 1 1 3
Net asset value per share $ 18.38 $ 27.92 $ 13.69
================== ================== ===============
- --------------------------------------------
(a) Including securities on loan of: $ 33,146 $ 37,340 $ 30,479
(b) Investments - unaffiliated, at cost 544,466 426,655 417,999
(c) Foreign currency cost - - -
(d) Proceeds from securities sold short - - -
(e) Premiums from options written - - -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/AIM JNL/AIM JNL/Alger
Large Cap Small Cap Growth
Growth Fund Growth Fund Fund
--------------------- ------------------ --------------------
INVESTMENT INCOME
Dividends (a) $ 1,399 $ 58 $ 2,860
Interest (b) 47 30 93
Foreign taxes withheld (5) - (9)
Securities lending 6 20 91
--------------------- ------------------ --------------------
TOTAL INVESTMENT INCOME 1,447 108 3,035
--------------------- ------------------ --------------------
EXPENSES
Administrative fees 125 45 264
Advisory fees 948 383 1,945
Trustees fees 4 2 10
Other expenses 4 1 9
Interest expense - - -
Distribution (12b-1) fee 45 11 177
12b-1 service fee (Class A) 250 90 527
--------------------- ------------------ --------------------
TOTAL EXPENSES 1,376 532 2,932
--------------------- ------------------ --------------------
--------------------- ------------------ --------------------
Fees paid indirectly (45) (11) (177)
--------------------- ------------------ --------------------
NET EXPENSES 1,331 521 2,755
--------------------- ------------------ --------------------
--------------------- ------------------ --------------------
NET INVESTMENT INCOME (LOSS) 116 (413) 280
--------------------- ------------------ --------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments (3,624) 1,195 22,738
Foreign currency related items - - -
Futures contracts and options written - 130 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 18,229 1,253 (9,659)
Foreign currency related items - - -
Futures contracts and options written - (15) -
Investment securities sold short - - -
--------------------- ------------------ --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 14,605 2,563 13,079
--------------------- ------------------ --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 14,721 $ 2,150 $ 13,359
- --------------------------------------------------- ===================== ================== ====================
(a) Dividends from affiliated investments $ - $ - $ -
(b) Interest from affiliated investments $ - $ - $ -
JNL/Alliance JNL/Eagle JNL/Eagle
Capital Growth Core Equity SmallCap
Fund Fund Equity Fund
-------------------- -------------------- ----------------
INVESTMENT INCOME
Dividends (a) $ 703 $ 5,029 $ 315
Interest (b) 7 358 59
Foreign taxes withheld (13) (20) -
Securities lending 5 15 23
-------------------- -------------------- ----------------
TOTAL INVESTMENT INCOME 702 5,382 397
-------------------- -------------------- ----------------
EXPENSES
Administrative fees 78 296 135
Advisory fees 448 1,941 1,008
Trustees fees 3 10 5
Other expenses 3 11 4
Interest expense - - -
Distribution (12b-1) fee 65 106 21
12b-1 service fee (Class A) 156 592 269
-------------------- -------------------- ----------------
TOTAL EXPENSES 753 2,956 1,442
-------------------- -------------------- ----------------
-------------------- -------------------- ----------------
Fees paid indirectly (65) (106) (21)
-------------------- -------------------- ----------------
NET EXPENSES 688 2,850 1,421
-------------------- -------------------- ----------------
-------------------- -------------------- ----------------
NET INVESTMENT INCOME (LOSS) 14 2,532 (1,024)
-------------------- -------------------- ----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments 5,630 14,843 7,093
Foreign currency related items - (3) -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (2,638) 4,014 17,961
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
-------------------- -------------------- ----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 2,992 18,854 25,054
-------------------- -------------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 3,006 $ 21,386 $ 24,030
- --------------------------------------------------- ==================== ==================== ================
(a) Dividends from affiliated investments $ - $ - $ -
(b) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/FMR JNL/FMR JNL/JPMorgan
Balanced Capital International
Fund Growth Fund Value Fund
------------------- ------------------- ---------------------
INVESTMENT INCOME
Dividends (a) $ 781 $ 2,155 $ 1,224
Interest (b) 1,467 74 43
Foreign taxes withheld (16) (28) (129)
Securities lending 42 29 24
------------------- ------------------- ---------------------
TOTAL INVESTMENT INCOME 2,274 2,230 1,162
------------------- ------------------- ---------------------
EXPENSES
Administrative fees 100 157 77
Advisory fees 718 1,127 395
Trustees fees 4 6 2
Other expenses 3 5 1
Interest expense - - -
Distribution (12b-1) fee 15 33 -
12b-1 service fee (Class A) 200 315 102
------------------- ------------------- ---------------------
TOTAL EXPENSES 1,040 1,643 577
------------------- ------------------- ---------------------
------------------- ------------------- ---------------------
Fees paid indirectly (15) (33) -
------------------- ------------------- ---------------------
NET EXPENSES 1,025 1,610 577
------------------- ------------------- ---------------------
------------------- ------------------- ---------------------
NET INVESTMENT INCOME (LOSS) 1,249 620 585
------------------- ------------------- ---------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments 9,555 33,057 4,102
Foreign currency related items (23) (23) 147
Futures contracts and options written - 303 207
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,505) (4,986) 7,544
Foreign currency related items 1 - (65)
Futures contracts and options written - - (85)
Investment securities sold short - - -
------------------- ------------------- ---------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 8,028 28,351 11,850
------------------- ------------------- ---------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 9,277 $ 28,971 $ 12,435
- --------------------------------------------------- =================== =================== =====================
(a) Dividends from affiliated investments $ - $ - $ -
(b) Interest from affiliated investments $ - $ - $ -
JNL/Mellon
Capital
JNL/Lazard JNL/Lazard Management
Mid Cap Small Cap Bond Index
Value Fund Value Fund Fund
------------------ ------------------- -----------------
INVESTMENT INCOME
Dividends (a) $ 1,953 $ 1,436 $ 47
Interest (b) 87 71 4,474
Foreign taxes withheld - (3) -
Securities lending 65 76 34
------------------ ------------------- -----------------
TOTAL INVESTMENT INCOME 2,105 1,580 4,555
------------------ ------------------- -----------------
EXPENSES
Administrative fees 164 172 116
Advisory fees 1,265 1,392 349
Trustees fees 6 6 4
Other expenses 5 6 4
Interest expense - - -
Distribution (12b-1) fee 87 103 -
12b-1 service fee (Class A) 329 343 232
------------------ ------------------- -----------------
TOTAL EXPENSES 1,856 2,022 705
------------------ ------------------- -----------------
------------------ ------------------- -----------------
Fees paid indirectly (87) (103) -
------------------ ------------------- -----------------
NET EXPENSES 1,769 1,919 705
------------------ ------------------- -----------------
------------------ ------------------- -----------------
NET INVESTMENT INCOME (LOSS) 336 (339) 3,850
------------------ ------------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments 28,927 25,739 973
Foreign currency related items - - -
Futures contracts and options written - - 12
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 9,700 1,450 50
Foreign currency related items - - -
Futures contracts and options written - - (4)
Investment securities sold short - - -
------------------ ------------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 38,627 27,189 1,031
------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 38,963 $ 26,850 $ 4,881
- --------------------------------------------------- ================== =================== =================
(a) Dividends from affiliated investments $ - $ - $ 45
(b) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/Mellon
Capital JNL/Mellon JNL/Mellon JNL/Mellon
Management Capital Capital Capital
Enhanced Management Management Management
S&P 500 Stock International S&P 400 MidCap S&P 500 Index
Index Fund Index Fund Index Fund Fund
-------------------- ------------------ ------------------- -----------------
INVESTMENT INCOME
Dividends (a) $ 3,018 $ 5,299 $ 1,624 $ 5,637
Interest (b) 14 14 9 26
Foreign taxes withheld - (544) - -
Securities lending 4 133 13 8
-------------------- ------------------ ------------------- -----------------
TOTAL INVESTMENT INCOME 3,036 4,902 1,646 5,671
-------------------- ------------------ ------------------- -----------------
EXPENSES
Administrative fees 156 296 135 272
Advisory fees 733 591 393 790
Trustees fees 6 7 4 9
Other expenses 5 6 5 9
Interest expense - - - -
Distribution (12b-1) fee 1 - - -
12b-1 service fee (Class A) 311 394 271 545
-------------------- ------------------ ------------------- -----------------
TOTAL EXPENSES 1,212 1,294 808 1,625
-------------------- ------------------ ------------------- -----------------
-------------------- ------------------ ------------------- -----------------
Fees paid indirectly (1) - - -
-------------------- ------------------ ------------------- -----------------
NET EXPENSES 1,211 1,294 808 1,625
-------------------- ------------------ ------------------- -----------------
-------------------- ------------------ ------------------- -----------------
NET INVESTMENT INCOME (LOSS) 1,825 3,608 838 4,046
-------------------- ------------------ ------------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 8,335 1,067 3,458 1,245
Foreign currency related items - 208 - -
Futures contracts and options written 542 1,340 991 776
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 7,695 36,881 18,174 24,421
Foreign currency related items - 22 - -
Futures contracts and options written 42 (39) 116 66
Investment securities sold short - - - -
-------------------- ------------------ ------------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 16,614 39,479 22,739 26,508
-------------------- ------------------ ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 18,439 $ 43,087 $ 23,577 $ 30,554
- -------------------------------------------------- ==================== ================== =================== =================
(a) Dividends from affiliated investments $ 81 $ 78 $ 50 $ 107
(b) Interest from affiliated investments $ - $ - $ - $ -
JNL/Mellon
Capital JNL/ JNL/
Management Oppenheimer Oppenheimer
Small Cap Global Growth
Index Fund Growth Fund Fund
------------------ ------------------ -------------------
INVESTMENT INCOME
Dividends (a) $ 1,593 $ 2,655 $ 293
Interest (b) 11 137 8
Foreign taxes withheld - (238) (1)
Securities lending 59 67 3
------------------ ------------------ -------------------
TOTAL INVESTMENT INCOME 1,663 2,621 303
------------------ ------------------ -------------------
EXPENSES
Administrative fees 118 243 27
Advisory fees 344 1,134 188
Trustees fees 4 5 1
Other expenses 3 6 1
Interest expense - - -
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) 237 324 53
------------------ ------------------ -------------------
TOTAL EXPENSES 706 1,712 270
------------------ ------------------ -------------------
------------------ ------------------ -------------------
Fees paid indirectly - - -
------------------ ------------------ -------------------
NET EXPENSES 706 1,712 270
------------------ ------------------ -------------------
------------------ ------------------ -------------------
NET INVESTMENT INCOME (LOSS) 957 909 33
------------------ ------------------ -------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments 4,377 6,780 2,602
Foreign currency related items - (422) -
Futures contracts and options written 797 - (26)
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 16,683 24,160 (1,646)
Foreign currency related items - 17 -
Futures contracts and options written (65) - -
Investment securities sold short - - -
------------------ ------------------ -------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 21,792 30,535 930
------------------ ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 22,749 $ 31,444 $ 963
- -------------------------------------------------- ================== ================== ===================
(a) Dividends from affiliated investments $ 56 $ - $ -
(b) Interest from affiliated investments $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/PIMCO JNL/Putnam JNL/Putnam
Total Return Equity International
Bond Fund Fund Equity Fund
------------------- ------------------- --------------------
INVESTMENT INCOME
Dividends (a) $ 73 $ 2,920 $ 2,105
Interest (b) 9,286 4 19
Foreign taxes withheld - (4) (235)
Securities lending 36 15 65
------------------- ------------------- --------------------
TOTAL INVESTMENT INCOME 9,395 2,935 1,954
------------------- ------------------- --------------------
EXPENSES
Administrative fees 371 151 138
Advisory fees 1,856 1,034 748
Trustees fees 13 6 3
Other expenses 13 5 3
Interest expense - - -
Distribution (12b-1) fee - 106 19
12b-1 service fee (Class A) 743 303 184
------------------- ------------------- --------------------
TOTAL EXPENSES 2,996 1,605 1,095
------------------- ------------------- --------------------
------------------- ------------------- --------------------
Fees paid indirectly - (106) (19)
------------------- ------------------- --------------------
NET EXPENSES 2,996 1,499 1,076
------------------- ------------------- --------------------
------------------- ------------------- --------------------
NET INVESTMENT INCOME (LOSS) 6,399 1,436 878
------------------- ------------------- --------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments 4,919 15,766 10,146
Foreign currency related items (359) 1 391
Futures contracts and options written 7,007 30 -
Investment securities sold short (131) - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,074 847 1,662
Foreign currency related items (100) - 144
Futures contracts and options written (1,935) 2 -
Investment securities sold short 23 - -
------------------- ------------------- --------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 10,498 16,646 12,343
------------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 16,897 $ 18,082 $ 13,221
- ------------------------------------------------------ =================== =================== ====================
(a) Dividends from affiliated investments $ - $ - $ -
(b) Interest from affiliated investments $ - $ - $ -
JNL/S&P JNL/S&P
JNL/Putnam JNL/Putnam Managed Managed
Midcap Value Aggressive Conservative
Growth Fund Equity Fund Growth Fund Fund (c)
------------------- ------------------- ---------------- ------------------
INVESTMENT INCOME
Dividends (a) $ 123 $ 5,189 $ 1,797 $ 186
Interest (b) 5 46 - -
Foreign taxes withheld - (9) - -
Securities lending 3 11 - -
------------------- ------------------- ---------------- ------------------
TOTAL INVESTMENT INCOME 131 5,237 1,797 186
------------------- ------------------- ---------------- ------------------
EXPENSES
Administrative fees 30 237 153 -
Advisory fees 227 1,568 381 2
Trustees fees 1 9 10 -
Other expenses 1 8 9 -
Interest expense - - - -
Distribution (12b-1) fee 26 88 - -
12b-1 service fee (Class A) 60 474 - -
------------------- ------------------- ---------------- ------------------
TOTAL EXPENSES 345 2,384 553 2
------------------- ------------------- ---------------- ------------------
------------------- ------------------- ---------------- ------------------
Fees paid indirectly (26) (88) - -
------------------- ------------------- ---------------- ------------------
NET EXPENSES 319 2,296 553 2
------------------- ------------------- ---------------- ------------------
------------------- ------------------- ---------------- ------------------
NET INVESTMENT INCOME (LOSS) (188) 2,941 1,244 184
------------------- ------------------- ---------------- ------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - 6,492 66
Investments 4,145 22,541 16,138 19
Foreign currency related items - 1 - -
Futures contracts and options written - 13 - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,351 (4,851) 38,808 (21)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------- ------------------- ---------------- ------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 5,496 17,704 61,438 64
------------------- ------------------- ---------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 5,308 $ 20,645 $ 62,682 $ 248
- ------------------------------------------------------ =================== =================== ================ ==================
(a) Dividends from affiliated investments $ - $ - $ 1,797 $ 186
(b) Interest from affiliated investments $ - $ - $ - $ -
(c) Period from October 4, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/S&P JNL/S&P
JNL/S&P Managed Managed
Managed Moderate Moderate
Growth Fund Fund (c) Growth Fund
-------------------- ---------------- ---------------------
INVESTMENT INCOME
Dividends (a) $ 6,752 $ 209 $ 7,054
Interest (b) - - -
Foreign taxes withheld - - -
Securities lending - - -
-------------------- ---------------- ---------------------
TOTAL INVESTMENT INCOME 6,752 209 7,054
-------------------- ---------------- ---------------------
EXPENSES
Administrative fees 401 1 255
Advisory fees 892 2 648
Trustees fees 28 - 18
Other expenses 28 - 17
Interest expense - - -
Distribution (12b-1) fee - - -
12b-1 service fee (Class A) - - -
-------------------- ---------------- ---------------------
TOTAL EXPENSES 1,349 3 938
-------------------- ---------------- ---------------------
-------------------- ---------------- ---------------------
Fees paid indirectly - - -
-------------------- ---------------- ---------------------
NET EXPENSES 1,349 3 938
-------------------- ---------------- ---------------------
-------------------- ---------------- ---------------------
NET INVESTMENT INCOME (LOSS) 5,403 206 6,116
-------------------- ---------------- ---------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies 10,089 160 5,424
Investments 25,661 2 8,859
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 56,336 97 31,922
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
-------------------- ---------------- ---------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 92,086 259 46,205
-------------------- ---------------- ---------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 97,489 $ 465 $ 52,321
- -------------------------------------------------------- ==================== ================ =====================
(a) Dividends from affiliated investments $ 6,752 $ 209 $ 7,054
(b) Interest from affiliated investments $ - $ - $ -
(c) Period from October 4, 2004 (commencement of operations)
JNL/Salomon
JNL/Salomon JNL/Salomon Brothers
Brothers Brothers U.S. Government JNL/Select
High Yield Strategic Bond & Quality Balanced
Bond Fund Fund Bond Fund Fund
----------------- ------------------ ------------------- -------------
INVESTMENT INCOME
Dividends (a) $ 3 $ 7 $ - $ 5,104
Interest (b) 6,397 12,762 10,452 5,494
Foreign taxes withheld - - - (13)
Securities lending 62 94 42 58
----------------- ------------------ ------------------- -------------
TOTAL INVESTMENT INCOME 6,462 12,863 10,494 10,643
----------------- ------------------ ------------------- -------------
EXPENSES
Administrative fees 84 231 223 331
Advisory fees 429 1,460 1,077 1,625
Trustees fees 3 8 8 12
Other expenses 2 8 8 11
Interest expense - - - -
Distribution (12b-1) fee - - - -
12b-1 service fee (Class A) 167 462 446 661
----------------- ------------------ ------------------- -------------
TOTAL EXPENSES 685 2,169 1,762 2,640
----------------- ------------------ ------------------- -------------
----------------- ------------------ ------------------- -------------
Fees paid indirectly - - - -
----------------- ------------------ ------------------- -------------
NET EXPENSES 685 2,169 1,762 2,640
----------------- ------------------ ------------------- -------------
----------------- ------------------ ------------------- -------------
NET INVESTMENT INCOME (LOSS) 5,777 10,694 8,732 8,003
----------------- ------------------ ------------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 5,241 6,073 2,585 40,347
Foreign currency related items - (1,127) - -
Futures contracts and options written - (808) (131) -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,150) 473 (2,189) (12,607)
Foreign currency related items 265 - -
Futures contracts and options written - 336 (34) -
Investment securities sold short - - - -
----------------- ------------------ ------------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 4,091 5,212 231 27,740
----------------- ------------------ ------------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 9,868 $ 15,906 $ 8,963 $ 35,743
- -------------------------------------------------------- ================= ================== =================== =============
(a) Dividends from affiliated investments $ - $ - $ - $ -
(b) Interest from affiliated investments $ - $ - $ - $ -
(c) Period from October 4, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/Select JNL/Select JNL/Select
Global Growth Large Cap Money
Fund Growth Fund Market Fund
--------------------- ------------------- -----------------
INVESTMENT INCOME
Dividends (a) $ 3,413 $ 2,292 $ -
Interest (b) 50 69 2,794
Foreign taxes withheld (256) (22) -
Securities lending 74 18 -
--------------------- ------------------- -----------------
TOTAL INVESTMENT INCOME 3,281 2,357 2,794
--------------------- ------------------- -----------------
EXPENSES
Administrative fees 291 260 197
Advisory fees 1,467 1,804 590
Trustees fees 7 9 7
Other expenses 7 9 6
Interest expense - - -
Distribution (12b-1) fee 186 40 -
12b-1 service fee (Class A) 388 519 394
--------------------- ------------------- -----------------
TOTAL EXPENSES 2,346 2,641 1,194
--------------------- ------------------- -----------------
--------------------- ------------------- -----------------
Fees paid indirectly (186) (40) -
--------------------- ------------------- -----------------
NET EXPENSES 2,160 2,601 1,194
--------------------- ------------------- -----------------
--------------------- ------------------- -----------------
NET INVESTMENT INCOME (LOSS) 1,121 (244) 1,600
--------------------- ------------------- -----------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - -
Investments 22,281 55,795 -
Foreign currency related items (134) 23 -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,509) (26,108) -
Foreign currency related items (4) - -
Futures contracts and options written - - -
Investment securities sold short - - -
--------------------- ------------------- -----------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 20,634 29,710 -
--------------------- ------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 21,755 $ 29,466 $ 1,600
- --------------------------------------------------------- ===================== =================== =================
(a) Dividends from affiliated investments $ - $ - $ -
(b) Interest from affiliated investments $ - $ - $ -
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
JNL/Select Established Mid-Cap Value
Value Fund Growth Fund Growth Fund Fund
----------------- ------------------- ------------------ --------------
INVESTMENT INCOME
Dividends (a) $ 2,924 $ 7,736 $ 2,026 $ 8,380
Interest (b) 24 37 52 76
Foreign taxes withheld - (79) (16) (92)
Securities lending 6 42 112 45
----------------- ------------------- ------------------ --------------
TOTAL INVESTMENT INCOME 2,954 7,736 2,174 8,409
----------------- ------------------- ------------------ --------------
EXPENSES
Administrative fees 125 542 461 421
Advisory fees 689 3,324 3,299 2,884
Trustees fees 4 19 16 15
Other expenses 5 19 16 14
Interest expense - - - -
Distribution (12b-1) fee - 48 57 72
12b-1 service fee (Class A) 251 1,083 921 841
----------------- ------------------- ------------------ --------------
TOTAL EXPENSES 1,074 5,035 4,770 4,247
----------------- ------------------- ------------------ --------------
----------------- ------------------- ------------------ --------------
Fees paid indirectly - (48) (57) (72)
----------------- ------------------- ------------------ --------------
NET EXPENSES 1,074 4,987 4,713 4,175
----------------- ------------------- ------------------ --------------
----------------- ------------------- ------------------ --------------
NET INVESTMENT INCOME (LOSS) 1,880 2,749 (2,539) 4,234
----------------- ------------------- ------------------ --------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Distributions from affiliated investment companies - - - -
Investments 14,763 25,585 29,158 16,880
Foreign currency related items - (308) (4) (50)
Futures contracts and options written - (73) (126) -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,121 25,569 53,310 40,958
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
----------------- ------------------- ------------------ --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 16,884 50,773 82,338 57,788
----------------- ------------------- ------------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 18,764 $ 53,522 $ 79,799 $ 62,022
- --------------------------------------------------------- ================= =================== ================== ==============
(a) Dividends from affiliated investments $ - $ 167 $ 261 $ 213
(b) Interest from affiliated investments $ - $ - $ - $ -
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/AIM JNL/AIM JNL/Alger
Large Cap Small Cap Growth
OPERATIONS Growth Fund Growth Fund Fund
----------------- --------------------- -------------------
Net investment income (loss) $ 116 $ (413) $ 280
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (3,624) 1,195 22,738
Foreign currency related items - - -
Futures contracts and options written - 130 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 18,229 1,253 (9,659)
Foreign currency related items - - -
Futures contracts and options written - (15) -
Investment securities sold short - - -
----------------- --------------------- -------------------
----------------- --------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 14,721 2,150 13,359
----------------- --------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - (28)
Class B (a) - - -
From net realized gains on
investment transactions
Class A - - -
Class B (a) - - -
----------------- --------------------- -------------------
----------------- --------------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (28)
----------------- --------------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 170,328 29,532 122,987
Class B (a) 24 7 7
Proceeds in connection with acquisition
Class A 11,871 - -
Class B (a) - - -
Reinvestment of distributions
Class A - - 28
Class B (a) - - -
Cost of shares redeemed
Class A (42,337) (31,264) (88,375)
Class B (a) (1) - -
----------------- --------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 139,885 (1,725) 34,647
----------------- --------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 154,606 425 47,978
NET ASSETS BEGINNING OF PERIOD 36,421 43,940 244,667
----------------- --------------------- -------------------
NET ASSETS END OF PERIOD $ 191,027 $ 44,365 $ 292,645
================= ===================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 116 $ - $ 252
================= ===================== ===================
(1)SHARE TRANSACTIONS
Shares sold
Class A 15,712 2,517 8,328
Class B (a) 2 1 -
Shares issued in connection with acquisition
Class A 1,110 - -
Class B (a) - - -
Reinvestment of distributions
Class A - - 2
Class B (a) - - -
Shares redeemed
Class A (3,893) (2,723) (6,030)
Class B (a) (1) - -
----------------- --------------------- -------------------
Net increase (decrease) 12,930 (205) 2,300
- -------------------------------------------------- ================= ===================== ===================
================= ===================== ===================
JNL/Alliance JNL/Eagle JNL/Eagle
Capital Growth Core Equity SmallCap
Fund Fund Equity Fund
OPERATIONS -------------------- -------------------- -----------------
$ 14 $ 2,532 $ (1,024)
Net investment income (loss)
Net realized gain (loss) on: - - -
Distributions from investment companies 5,630 14,843 7,093
Investments - (3) -
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short
Net change in unrealized appreciation
(depreciation) on: (2,638) 4,014 17,961
Investments - - -
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short -------------------- -------------------- -----------------
-------------------- -------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 3,006 21,386 24,030
FROM OPERATIONS -------------------- -------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (110) (2,504) -
Class A - - -
Class B (a)
From net realized gains on
investment transactions - - -
Class A - - -
Class B (a) -------------------- -------------------- -----------------
-------------------- -------------------- -----------------
(110) (2,504) -
TOTAL DISTRIBUTIONS TO SHAREHOLDERS -------------------- -------------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 29,207 150,677 83,436
Class A 3 19 7
Class B (a)
Proceeds in connection with acquisition - 13,508 -
Class A - - -
Class B (a)
Reinvestment of distributions 110 2,504 -
Class A - - -
Class B (a)
Cost of shares redeemed (115,764) (73,504) (47,691)
Class A - (1) (1)
Class B (a) -------------------- -------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM (86,444) 93,203 35,751
SHARE TRANSACTIONS -------------------- -------------------- -----------------
(83,548) 112,085 59,781
NET INCREASE (DECREASE) IN NET ASSETS
128,518 245,913 109,972
NET ASSETS BEGINNING OF PERIOD -------------------- -------------------- -----------------
$ 44,970 $ 357,998 $ 169,753
NET ASSETS END OF PERIOD ==================== ==================== =================
UNDISTRIBUTED (ACCUMULATED) NET $ 14 $ 60 $ -
INVESTMENT INCOME (LOSS) ==================== ==================== =================
(1)SHARE TRANSACTIONS
Shares sold 2,910 10,672 4,660
Class A - 1 -
Class B (a)
Shares issued in connection with acquisition - 973 -
Class A - - -
Class B (a)
Reinvestment of distributions 10 168 -
Class A - - -
Class B (a)
Shares redeemed (11,601) (5,242) (2,701)
Class A - - -
Class B (a) -------------------- -------------------- -----------------
(8,681) 6,572 1,959
Net increase (decrease) ==================== ==================== =================
-------------------------------------------------- ==================== ==================== =================
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/FMR JNL/FMR JNL/JPMorgan JNL/Lazard
Balanced Capital International Mid Cap
OPERATIONS Fund Growth Fund Value Fund Value Fund
------------------ ----------------- ----------------- --------------------
Net investment income (loss) $ 1,249 $ 620 $ 585 $ 336
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 9,555 33,057 4,102 28,927
Foreign currency related items (23) (23) 147 -
Futures contracts and options written - 303 207 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,505) (4,986) 7,544 9,700
Foreign currency related items 1 - (65) -
Futures contracts and options written - - (85) -
Investment securities sold short - - - -
------------------ ----------------- ----------------- --------------------
------------------ ----------------- ----------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 9,277 28,971 12,435 38,963
------------------ ----------------- ----------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (1,265) - (713) (281)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A - - (5) (23,036)
Class B (a) - - - (3)
------------------ ----------------- ----------------- --------------------
------------------ ----------------- ----------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,265) - (718) (23,320)
------------------ ----------------- ----------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 32,843 72,402 63,170 128,729
Class B (a) 2 3 5 39
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 1,265 - 718 23,317
Class B (a) - - - 3
Cost of shares redeemed
Class A (51,818) (48,984) (23,133) (87,946)
Class B (a) - - - (12)
------------------ ----------------- ----------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (17,708) 23,421 40,760 64,130
------------------ ----------------- ----------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS (9,696) 52,392 52,477 79,773
NET ASSETS BEGINNING OF PERIOD 114,262 158,013 29,609 142,798
------------------ ----------------- ----------------- --------------------
NET ASSETS END OF PERIOD $ 104,566 $ 210,405 $ 82,086 $ 222,571
================== ================= ================= ====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 11 $ 597 $ 139 $ 44
================== ================= ================= ====================
(1)SHARE TRANSACTIONS
Shares sold
Class A 3,493 5,085 7,739 8,914
Class B (a) - - 1 3
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 127 - 78 1,609
Class B (a) - - - -
Shares redeemed
Class A (5,517) (3,560) (2,853) (6,201)
Class B (a) - - - (1)
------------------ ----------------- ----------------- --------------------
Net increase (decrease) (1,897) 1,525 4,965 4,324
- ---------------------------------------------------- ================== ================= ================= ====================
================== ================= ================= ====================
JNL/Mellon
Capital
JNL/Lazard Management
Small Cap Bond Index
OPERATIONS Value Fund Fund
------------------- ------------------
Net investment income (loss) $ (339) $ 3,850
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 25,739 973
Foreign currency related items - -
Futures contracts and options written - 12
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,450 50
Foreign currency related items - -
Futures contracts and options written - (4)
Investment securities sold short - -
------------------- ------------------
------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 26,850 4,881
------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (90) (326)
Class B (a) - -
From net realized gains on
investment transactions
Class A (17,961) (9)
Class B (a) (2) -
------------------- ------------------
------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (18,053) (335)
------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 109,731 107,284
Class B (a) 34 33
Proceeds in connection with acquisition
Class A - -
Class B (a) - -
Reinvestment of distributions
Class A 18,051 335
Class B (a) 2 -
Cost of shares redeemed
Class A (72,919) (79,272)
Class B (a) (9) (16)
------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 54,890 28,364
------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 63,687 32,910
NET ASSETS BEGINNING OF PERIOD 155,191 83,547
------------------- ------------------
NET ASSETS END OF PERIOD $ 218,878 $ 116,457
=================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 78 $ 3,554
=================== ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 8,047 10,111
Class B (a) 3 3
Shares issued in connection with acquisition
Class A - -
Class B (a) - -
Reinvestment of distributions
Class A 1,311 31
Class B (a) - -
Shares redeemed
Class A (5,408) (7,369)
Class B (a) (1) (1)
------------------- ------------------
Net increase (decrease) 3,952 2,775
- ---------------------------------------------------- =================== ==================
=================== ==================
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/Mellon
Capital JNL/Mellon JNL/Mellon
Management Capital Capital
Enhanced Management Management
S&P 500 Stock International S&P 400 MidCap
OPERATIONS Index Fund Index Fund Index Fund
-------------------- ----------------- -------------------
Net investment income (loss) $ 1,825 $ 3,608 $ 838
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 8,335 1,067 3,458
Foreign currency related items - 208 -
Futures contracts and options written 542 1,340 991
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 7,695 36,881 18,174
Foreign currency related items - 22 -
Futures contracts and options written 42 (39) 116
Investment securities sold short - - -
-------------------- ----------------- -------------------
-------------------- ----------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 18,439 43,087 23,577
-------------------- ----------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (485) (245) (10)
Class B (a) - - -
From net realized gains on
investment transactions
Class A - - -
Class B (a) - - -
-------------------- ----------------- -------------------
-------------------- ----------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (485) (245) (10)
-------------------- ----------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 142,564 211,498 136,125
Class B (a) 30 80 140
Proceeds in connection with acquisition
Class A - - -
Class B (a) - - -
Reinvestment of distributions
Class A 485 245 10
Class B (a) - - -
Cost of shares redeemed
Class A (68,626) (53,605) (42,016)
Class B (a) (27) (38) (62)
-------------------- ----------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 74,426 158,180 94,197
-------------------- ----------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS 92,380 201,022 117,764
NET ASSETS BEGINNING OF PERIOD 89,068 97,126 81,077
-------------------- ----------------- -------------------
NET ASSETS END OF PERIOD $ 181,448 $ 298,148 $ 198,841
==================== ================= ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,821 $ 3,689 $ 837
==================== ================= ===================
(1)SHARE TRANSACTIONS
Shares sold
Class A 17,692 17,736 11,403
Class B (a) 4 7 12
Shares issued in connection with acquisition
Class A - - -
Class B (a) - - -
Reinvestment of distributions
Class A 55 18 1
Class B (a) - - -
Shares redeemed
Class A (8,367) (4,424) (3,506)
Class B (a) (3) (3) (5)
-------------------- ----------------- -------------------
Net increase (decrease) 9,381 13,334 7,905
- ----------------------------------------------------- ==================== ================= ===================
JNL/Mellon JNL/Mellon
Capital Capital JNL/ JNL/
Management Management Oppenheimer Oppenheimer
S&P 500 Index Small Cap Global Growth
OPERATIONS Fund Index Fund Growth Fund Fund
------------------ ----------------- ------------------ ----------------
Net investment income (loss) $ 4,046 $ 957 $ 909 $ 33
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 1,245 4,377 6,780 2,602
Foreign currency related items - - (422) -
Futures contracts and options written 776 797 - (26)
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 24,421 16,683 24,160 (1,646)
Foreign currency related items - - 17 -
Futures contracts and options written 66 (65) - -
Investment securities sold short - - - -
------------------ ----------------- ------------------ ----------------
------------------ ----------------- ------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 30,554 22,749 31,444 963
------------------ ----------------- ------------------ ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (4,035) (6) (288) -
Class B (a) (2) - - -
From net realized gains on
investment transactions
Class A (1,593) (333) - -
Class B (a) (1) - - -
------------------ ----------------- ------------------ ----------------
------------------ ----------------- ------------------ ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,631) (339) (288) -
------------------ ----------------- ------------------ ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 237,627 117,624 143,594 16,812
Class B (a) 368 119 30 1
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 5,628 339 288 -
Class B (a) 3 - - -
Cost of shares redeemed
Class A (96,656) (42,669) (44,613) (26,289)
Class B (a) (147) (46) (9) -
------------------ ----------------- ------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 146,823 75,367 99,290 (9,476)
------------------ ----------------- ------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS 171,746 97,777 130,446 (8,513)
NET ASSETS BEGINNING OF PERIOD 190,338 76,130 104,625 32,993
------------------ ----------------- ------------------ ----------------
NET ASSETS END OF PERIOD $ 362,084 $ 173,907 $ 235,071 $ 24,480
================== ================= ================== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 5 $ 955 $ 459 $ 33
================== ================= ================== ================
(1)SHARE TRANSACTIONS
Shares sold
Class A 23,634 9,830 13,623 2,019
Class B (a) 37 10 3 -
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 528 25 24 -
Class B (a) - - - -
Shares redeemed
Class A (9,586) (3,562) (4,264) (3,169)
Class B (a) (15) (4) (1) -
------------------ ----------------- ------------------ ----------------
Net increase (decrease) 14,598 6,299 9,385 (1,150)
- ----------------------------------------------------- ================== ================= ================== ================
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/PIMCO JNL/Putnam JNL/Putnam JNL/Putnam
Total Return Equity International Midcap
OPERATIONS Bond Fund Fund Equity Fund Growth Fund
---------------- ----------------- ------------------ -------------------
Net investment income (loss) $ 6,399 $ 1,436 $ 878 $ (188)
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 4,919 15,766 10,146 4,145
Foreign currency related items (359) 1 391 -
Futures contracts and options written 7,007 30 - -
Investment securities sold short (131) - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 1,074 847 1,662 1,351
Foreign currency related items (100) - 144 -
Futures contracts and options written (1,935) 2 - -
Investment securities sold short 23 - - -
---------------- ----------------- ------------------ -------------------
---------------- ----------------- ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 16,897 18,082 13,221 5,308
---------------- ----------------- ------------------ -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (6,169) (860) (1,170) -
Class B (a) - - - -
From net realized gains on
investment transactions
Class A (4,007) - - -
Class B (a) - - - -
---------------- ----------------- ------------------ -------------------
---------------- ----------------- ------------------ -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (10,176) (860) (1,170) -
---------------- ----------------- ------------------ -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 224,183 12,647 28,336 12,922
Class B (a) 34 10 1 1
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 10,176 860 1,170 -
Class B (a) - - - -
Cost of shares redeemed
Class A (168,257) (45,986) (43,370) (13,310)
Class B (a) (4) - - -
---------------- ----------------- ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 66,132 (32,469) (13,863) (387)
---------------- ----------------- ------------------ -------------------
NET INCREASE (DECREASE) IN NET ASSETS 72,853 (15,247) (1,812) 4,921
NET ASSETS BEGINNING OF PERIOD 317,301 164,927 96,811 28,909
---------------- ----------------- ------------------ -------------------
NET ASSETS END OF PERIOD $ 390,154 $ 149,680 $ 94,999 $ 33,830
================ ================= ================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 5,577 $ 1,263 $ 153 $ -
================ ================= ================== ===================
(1)SHARE TRANSACTIONS
Shares sold
Class A 18,764 747 2,863 1,812
Class B (a) 3 1 - -
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 851 46 108 -
Class B (a) - - - -
Shares redeemed
Class A (13,992) (2,712) (4,437) (1,873)
Class B (a) - - - -
---------------- ----------------- ------------------ -------------------
Net increase (decrease) 5,626 (1,918) (1,466) (61)
- ----------------------------------------------------- ================ ================= ================== ===================
================ ================= ================== ===================
JNL/S&P JNL/S&P
JNL/Putnam Managed Managed
Value Aggressive Conservative
OPERATIONS Equity Fund Growth Fund Fund (b)
------------------ ------------------- ------------------
Net investment income (loss) $ 2,941 $ 1,244 $ 184
Net realized gain (loss) on:
Distributions from investment companies - 6,492 66
Investments 22,541 16,138 19
Foreign currency related items 1 - -
Futures contracts and options written 13 - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (4,851) 38,808 (21)
Foreign currency related items - - -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ ------------------- ------------------
------------------ ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 20,645 62,682 248
------------------ ------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (2,931) (698) -
Class B (a) - - -
From net realized gains on
investment transactions
Class A - - -
Class B (a) - - -
------------------ ------------------- ------------------
------------------ ------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,931) (698) -
------------------ ------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 39,785 97,900 16,695
Class B (a) 1 - -
Proceeds in connection with acquisition
Class A - 411,703 -
Class B (a) - - -
Reinvestment of distributions
Class A 2,931 698 -
Class B (a) - - -
Cost of shares redeemed
Class A (154,547) (65,590) (3,034)
Class B (a) - - -
------------------ ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (111,830) 444,711 13,661
------------------ ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS (94,116) 506,695 13,909
NET ASSETS BEGINNING OF PERIOD 309,732 164,016 -
------------------ ------------------- ------------------
NET ASSETS END OF PERIOD $ 215,616 $ 670,711 $ 13,909
================== =================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 5 $ 2,889 $ 198
================== =================== ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 2,421 8,941 1,640
Class B (a) - - -
Shares issued in connection with acquisition
Class A - 37,808 -
Class B (a) - - -
Reinvestment of distributions
Class A 168 59 -
Class B (a) - - -
Shares redeemed
Class A (9,466) (5,934) (297)
Class B (a) - - -
------------------ ------------------- ------------------
Net increase (decrease) (6,877) 40,874 1,343
- ----------------------------------------------------- ================== =================== ==================
================== =================== ==================
(a) Period from March 5, 2004 (commencement of operations)
(b) Period from October 4, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/S&P JNL/S&P JNL/Salomon
JNL/S&P Managed Managed Brothers
Managed Moderate Moderate High Yield
OPERATIONS Growth Fund Fund (b) Growth Fund Bond Fund
---------------------- ---------------- ------------------ -----------------
Net investment income (loss) $ 5,403 $ 206 $ 6,116 $ 5,777
Net realized gain (loss) on:
Distributions from investment companies 10,089 160 5,424 -
Investments 25,661 2 8,859 5,241
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 56,336 97 31,922 (1,150)
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
---------------------- ---------------- ------------------ -----------------
---------------------- ---------------- ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 97,489 465 52,321 9,868
---------------------- ---------------- ------------------ -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (5,127) - (5,827) (5,803)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A (3,197) - (8,768) (67)
Class B (a) - - - -
---------------------- ---------------- ------------------ -----------------
---------------------- ---------------- ------------------ -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (8,324) - (14,595) (5,870)
---------------------- ---------------- ------------------ -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 345,735 21,057 236,773 58,220
Class B (a) - - - 9
Proceeds in connection with acquisition
Class A 94,807 - 30,405 287,129
Class B (a) - - - 4
Reinvestment of distributions
Class A 8,324 - 14,595 5,870
Class B (a) - - - -
Cost of shares redeemed
Class A (146,356) (1,649) (102,715) (89,732)
Class B (a) - - - -
---------------------- ---------------- ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 302,510 19,408 179,058 261,500
---------------------- ---------------- ------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS 391,675 19,873 216,784 265,498
NET ASSETS BEGINNING OF PERIOD 609,887 - 402,322 19,464
---------------------- ---------------- ------------------ -----------------
NET ASSETS END OF PERIOD $ 1,001,562 $ 19,873 $ 619,106 $ 284,962
====================== ================ ================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 3,803 $ 257 $ 1,954 $ 1
====================== ================ ================== =================
(1)SHARE TRANSACTIONS
Shares sold
Class A 30,585 2,046 21,305 6,860
Class B (a) - - - 1
Shares issued in connection with acquisition
Class A 8,435 - 2,792 34,108
Class B (a) - - - 1
Reinvestment of distributions
Class A 684 - 1,256 691
Class B (a) - - - -
Shares redeemed
Class A (12,896) (160) (9,204) (10,588)
Class B (a) - - - -
---------------------- ---------------- ------------------ -----------------
Net increase (decrease) 26,808 1,886 16,149 31,073
- ---------------------------------------------------- ====================== ================ ================== =================
====================== ================ ================== =================
JNL/Salomon
JNL/Salomon Brothers
Brothers U.S. Government JNL/Select
Strategic Bond & Quality Balanced
OPERATIONS Fund Bond Fund Fund
------------------ -------------------- ------------------
Net investment income (loss) $ 10,694 $ 8,732 $ 8,003
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 6,073 2,585 40,347
Foreign currency related items (1,127) - -
Futures contracts and options written (808) (131) -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 473 (2,189) (12,607)
Foreign currency related items 265 - -
Futures contracts and options written 336 (34) -
Investment securities sold short - - -
------------------ -------------------- ------------------
------------------ -------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 15,906 8,963 35,743
------------------ -------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (10,205) (8,854) (375)
Class B (a) - - -
From net realized gains on
investment transactions
Class A (3,552) (1,100) (2,289)
Class B (a) - - -
------------------ -------------------- ------------------
------------------ -------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (13,757) (9,954) (2,664)
------------------ -------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 121,437 67,434 115,366
Class B (a) 8 17 24
Proceeds in connection with acquisition
Class A - - 12,867
Class B (a) - - -
Reinvestment of distributions
Class A 13,757 9,954 2,664
Class B (a) - - -
Cost of shares redeemed
Class A (98,560) (135,808) (86,551)
Class B (a) - (4) (3)
------------------ -------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 36,642 (58,407) 44,367
------------------ -------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 38,791 (59,398) 77,446
NET ASSETS BEGINNING OF PERIOD 197,923 257,274 303,892
------------------ -------------------- ------------------
NET ASSETS END OF PERIOD $ 236,714 $ 197,876 $ 381,338
================== ==================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 415 $ 262 $ 7,680
================== ==================== ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 10,471 5,809 7,193
Class B (a) 1 1 1
Shares issued in connection with acquisition
Class A - - 785
Class B (a) - - -
Reinvestment of distributions
Class A 1,201 881 156
Class B (a) - - -
Shares redeemed
Class A (8,394) (11,625) (5,405)
Class B (a) - - -
------------------ -------------------- ------------------
Net increase (decrease) 3,279 (4,934) 2,730
- ---------------------------------------------------- ================== ==================== ==================
================== ==================== ==================
(a) Period from March 5, 2004 (commencement of operations)
(b) Period from October 4, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2004
JNL/Select JNL/Select JNL/Select
Global Growth Large Cap Money
OPERATIONS Fund Growth Fund Market Fund
---------------------- ------------------- ------------------
Net investment income (loss) $ 1,121 $ (244) $ 1,600
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 22,281 55,795 -
Foreign currency related items (134) 23 -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments (1,509) (26,108) -
Foreign currency related items (4) - -
Futures contracts and options written - - -
Investment securities sold short - - -
---------------------- ------------------- ------------------
---------------------- ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 21,755 29,466 1,600
---------------------- ------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A - - (1,600)
Class B (a) - - -
From net realized gains on
investment transactions
Class A - - -
Class B (a) - - -
---------------------- ------------------- ------------------
---------------------- ------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (1,600)
---------------------- ------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 55,430 96,877 358,200
Class B (a) 1 2 223
Proceeds in connection with acquisition
Class A - - -
Class B (a) - - -
Reinvestment of distributions
Class A - - 1,600
Class B (a) - - -
Cost of shares redeemed
Class A (56,521) (88,704) (306,425)
Class B (a) - - (185)
---------------------- ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (1,090) 8,175 53,413
---------------------- ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 20,665 37,641 53,413
NET ASSETS BEGINNING OF PERIOD 197,288 257,852 184,440
---------------------- ------------------- ------------------
NET ASSETS END OF PERIOD $ 217,953 $ 295,493 $ 237,853
====================== =================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 971 $ - $ -
====================== =================== ==================
(1)SHARE TRANSACTIONS
Shares sold
Class A 3,079 5,224 358,200
Class B (a) - - 223
Shares issued in connection with acquisition
Class A - - -
Class B (a) - - -
Reinvestment of distributions
Class A - - 1,600
Class B (a) - - -
Shares redeemed
Class A (3,169) (4,834) (306,425)
Class B (a) - - (185)
---------------------- ------------------- ------------------
Net increase (decrease) (90) 390 53,413
- --------------------------------------------------------- ====================== =================== ==================
====================== =================== ==================
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
JNL/Select Established Mid-Cap Value
OPERATIONS Value Fund Growth Fund Growth Fund Fund
---------------- ----------------- ------------------ -------------
Net investment income (loss) $ 1,880 $ 2,749 $ (2,539) $ 4,234
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 14,763 25,585 29,158 16,880
Foreign currency related items - (308) (4) (50)
Futures contracts and options written - (73) (126) -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 2,121 25,569 53,310 40,958
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
---------------- ----------------- ------------------ -------------
---------------- ----------------- ------------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 18,764 53,522 79,799 62,022
---------------- ----------------- ------------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income
Class A (523) (2,214) - (2,908)
Class B (a) - - - -
From net realized gains on
investment transactions
Class A (945) - (27,626) -
Class B (a) - - (2) -
---------------- ----------------- ------------------ -------------
---------------- ----------------- ------------------ -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,468) (2,214) (27,628) (2,908)
---------------- ----------------- ------------------ -------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares
Class A 136,824 210,635 207,599 217,772
Class B (a) 26 24 30 42
Proceeds in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 1,468 2,214 27,626 2,908
Class B (a) - - 2 -
Cost of shares redeemed
Class A (55,834) (131,316) (125,195) (199,137)
Class B (a) (2) (2) (2) (9)
---------------- ----------------- ------------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 82,482 81,555 110,060 21,576
---------------- ----------------- ------------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS 99,778 132,863 162,231 80,690
NET ASSETS BEGINNING OF PERIOD 54,532 474,046 379,541 404,470
---------------- ----------------- ------------------ -------------
NET ASSETS END OF PERIOD $ 154,310 $ 606,909 $ 541,772 $ 485,160
================ ================= ================== =============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 1,880 $ 595 $ 1 $ 4,185
================ ================= ================== =============
(1)SHARE TRANSACTIONS
Shares sold
Class A 9,004 12,401 8,018 17,614
Class B (a) 2 1 1 3
Shares issued in connection with acquisition
Class A - - - -
Class B (a) - - - -
Reinvestment of distributions
Class A 88 121 998 214
Class B (a) - - - -
Shares redeemed
Class A (3,569) (7,725) (4,827) (16,196)
Class B (a) - - - -
---------------- ----------------- ------------------ -------------
Net increase (decrease) 5,525 4,798 4,190 1,635
- --------------------------------------------------------- ================ ================= ================== =============
================ ================= ================== =============
(a) Period from March 5, 2004 (commencement of operations)
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/AIM JNL/AIM JNL/Alger JNL/Alliance
Large Cap Small Cap Growth Capital Growth
OPERATIONS Growth Fund Growth Fund Fund Fund
------------------- ------------------ ----------------- ------------------
Net investment income (loss) $ (73) $ (203) $ (533) $ 110
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 557 (403) 21,391 (5,581)
Foreign currency related items - - - -
Futures contracts and options written (1) 111 - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 4,253 7,948 39,835 28,034
Foreign currency related items - - - -
Futures contracts and options written - 15 - -
Investment securities sold short - - - -
------------------- ------------------ ----------------- ------------------
------------------- ------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 4,736 7,468 60,693 22,563
------------------- ------------------ ----------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - - - -
From net realized gains on
investment transactions - - - -
------------------- ------------------ ----------------- ------------------
------------------- ------------------ ----------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - - -
------------------- ------------------ ----------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 36,498 37,760 63,061 60,050
Reinvestment of distributions - - - -
Cost of shares redeemed (11,670) (14,203) (54,526) (40,986)
------------------- ------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 24,828 23,557 8,535 19,064
------------------- ------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 29,564 31,025 69,228 41,627
NET ASSETS BEGINNING OF PERIOD 6,857 12,915 175,439 86,891
------------------- ------------------ ----------------- ------------------
NET ASSETS END OF PERIOD $ 36,421 $ 43,940 $ 244,667 $ 128,518
=================== ================== ================= ==================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ - $ - $ - $ 110
=================== ================== ================= ==================
(1)SHARE TRANSACTIONS
Shares sold 3,870 3,751 4,871 6,822
Reinvestment of distributions - - - -
Shares redeemed (1,277) (1,519) (4,374) (4,753)
------------------- ------------------ ----------------- ------------------
Net increase (decrease) 2,593 2,232 497 2,069
=================== ================== ================= ==================
=================== ================== ================= ==================
JNL/Eagle JNL/Eagle
Core Equity SmallCap
OPERATIONS Fund Equity Fund
------------------ -----------------
Net investment income (loss) $ 1,520 $ (674)
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 2,033 (1,796)
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 38,762 33,573
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
------------------ -----------------
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 42,315 31,103
------------------ -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,494) -
From net realized gains on
investment transactions - -
------------------ -----------------
------------------ -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,494) -
------------------ -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 95,642 39,769
Reinvestment of distributions 1,494 -
Cost of shares redeemed (41,286) (37,098)
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 55,850 2,671
------------------ -----------------
NET INCREASE (DECREASE) IN NET ASSETS 96,671 33,774
NET ASSETS BEGINNING OF PERIOD 149,242 76,198
------------------ -----------------
NET ASSETS END OF PERIOD $ 245,913 $ 109,972
================== =================
UNDISTRIBUTED (ACCUMULATED) NET
investment income (loss) $ 61 $ -
================== =================
(1)SHARE TRANSACTIONS
Shares sold 7,545 2,814
Reinvestment of distributions 107 -
Shares redeemed (3,336) (2,621)
------------------ -----------------
Net increase (decrease) 4,316 193
================== =================
================== =================
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/FMR JNL/FMR JNL/JPMorgan JNL/Lazard
Balanced Capital International Mid Cap
OPERATIONS Fund Growth Fund Value Fund Value Fund
---------------- ----------------- ------------------- --------------------
Net investment income (loss) $ 1,502 $ (743) $ 82 $ 400
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (342) 443 1,098 5,696
Foreign currency related items (1) - 192 -
Futures contracts and options written - - 185 -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 11,100 44,287 2,905 20,555
Foreign currency related items - - 180 -
Futures contracts and options written - - 119 -
Investment securities sold short - - - -
---------------- ----------------- ------------------- --------------------
---------------- ----------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 12,259 43,987 4,761 26,651
---------------- ----------------- ------------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,480) - (346) (266)
From net realized gains on
investment transactions - - - -
---------------- ----------------- ------------------- --------------------
---------------- ----------------- ------------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,480) - (346) (266)
---------------- ----------------- ------------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 50,666 54,295 42,706 83,646
Reinvestment of distributions 1,480 - 346 266
Cost of shares redeemed (24,254) (75,938) (23,500) (44,389)
---------------- ----------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 27,892 (21,643) 19,552 39,523
---------------- ----------------- ------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS 38,671 22,344 23,967 65,908
NET ASSETS BEGINNING OF PERIOD 75,591 135,669 5,642 76,890
---------------- ----------------- ------------------- --------------------
NET ASSETS END OF PERIOD $ 114,262 $ 158,013 $ 29,609 $ 142,798
================ ================= =================== ====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 50 $ - $ (30) $ 119
================ ================= =================== ====================
(1)SHARE TRANSACTIONS
Shares sold 5,812 5,213 6,603 7,350
Reinvestment of distributions 162 - 47 20
Shares redeemed (2,792) (7,180) (3,793) (4,029)
---------------- ----------------- ------------------- --------------------
Net increase (decrease) 3,182 (1,967) 2,857 3,341
================ ================= =================== ====================
================ ================= =================== ====================
JNL/Mellon
Capital
JNL/Lazard Management
Small Cap Bond Index
OPERATIONS Value Fund Fund
------------------- ----------------------
Net investment income (loss) $ 174 $ 1,790
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 2,297 420
Foreign currency related items - -
Futures contracts and options written - (30)
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 32,326 (647)
Foreign currency related items - -
Futures contracts and options written - 17
Investment securities sold short - -
------------------- ----------------------
------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 34,797 1,550
------------------- ----------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (1,412)
From net realized gains on
investment transactions - (925)
------------------- ----------------------
------------------- ----------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (2,337)
------------------- ----------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 89,529 61,738
Reinvestment of distributions - 2,337
Cost of shares redeemed (43,694) (14,027)
------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 45,835 50,048
------------------- ----------------------
NET INCREASE (DECREASE) IN NET ASSETS 80,632 49,261
NET ASSETS BEGINNING OF PERIOD 74,559 34,286
------------------- ----------------------
NET ASSETS END OF PERIOD $ 155,191 $ 83,547
=================== ======================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 144 $ 327
=================== ======================
(1)SHARE TRANSACTIONS
Shares sold 8,192 5,803
Reinvestment of distributions - 222
Shares redeemed (4,225) (1,320)
------------------- ----------------------
Net increase (decrease) 3,967 4,705
=================== ======================
=================== ======================
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Mellon
Capital JNL/Mellon JNL/Mellon
Management Capital Capital
Enhanced Management Management
S&P 500 Stock International S&P 400 MidCap
OPERATIONS Index Fund Index Fund Index Fund
-------------------- ---------------------- --------------------
Net investment income (loss) $ 487 $ 801 $ 241
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 3,413 (64) 18
Foreign currency related items - 399 -
Futures contracts and options written 206 478 836
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 11,269 18,275 11,704
Foreign currency related items - 88 -
Futures contracts and options written 86 173 6
Investment securities sold short - - -
-------------------- ---------------------- --------------------
-------------------- ---------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 15,461 20,150 12,805
-------------------- ---------------------- --------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (236) (1,094) (230)
From net realized gains on
investment transactions - - -
-------------------- ---------------------- --------------------
-------------------- ---------------------- --------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (236) (1,094) (230)
-------------------- ---------------------- --------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 57,742 59,966 63,260
Reinvestment of distributions 236 1,094 230
Cost of shares redeemed (26,206) (9,508) (7,716)
-------------------- ---------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 31,772 51,552 55,774
-------------------- ---------------------- --------------------
NET INCREASE (DECREASE) IN NET ASSETS 46,997 70,608 68,349
NET ASSETS BEGINNING OF PERIOD 42,071 26,518 12,728
-------------------- ---------------------- --------------------
NET ASSETS END OF PERIOD $ 89,068 $ 97,126 $ 81,077
==================== ====================== ====================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 486 $ 115 $ 12
==================== ====================== ====================
(1)SHARE TRANSACTIONS
Shares sold 8,328 6,248 6,347
Reinvestment of distributions 30 98 20
Shares redeemed (3,957) (1,008) (788)
-------------------- ---------------------- --------------------
Net increase (decrease) 4,401 5,338 5,579
==================== ====================== ====================
JNL/Mellon JNL/Mellon
Capital Capital JNL/
Management Management Oppenheimer
S&P 500 Index Small Cap Global
OPERATIONS Fund Index Fund Growth Fund
------------------ ----------------- ------------------
Net investment income (loss) $ 1,213 $ 303 $ 390
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (161) 701 (1,086)
Foreign currency related items - - (224)
Futures contracts and options written 1,480 1,614 -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 25,439 13,829 26,836
Foreign currency related items - - 77
Futures contracts and options written 116 82 -
Investment securities sold short - - -
------------------ ----------------- ------------------
------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 28,087 16,529 25,993
------------------ ----------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,511) (269) -
From net realized gains on
investment transactions (588) (498) -
------------------ ----------------- ------------------
------------------ ----------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (2,099) (767) -
------------------ ----------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 144,444 62,400 105,186
Reinvestment of distributions 2,099 767 -
Cost of shares redeemed (28,969) (22,826) (77,076)
------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 117,574 40,341 28,110
------------------ ----------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 143,562 56,103 54,103
NET ASSETS BEGINNING OF PERIOD 46,776 20,027 50,522
------------------ ----------------- ------------------
NET ASSETS END OF PERIOD $ 190,338 $ 76,130 $ 104,625
================== ================= ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 5 $ 27 $ 260
================== ================= ==================
(1)SHARE TRANSACTIONS
Shares sold 16,481 6,319 13,324
Reinvestment of distributions 218 68 -
Shares redeemed (3,351) (2,263) (10,002)
------------------ ----------------- ------------------
Net increase (decrease) 13,348 4,124 3,322
================== ================= ==================
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/
Oppenheimer JNL/PIMCO JNL/Putnam JNL/Putnam
Growth Total Return Equity International
OPERATIONS Fund Bond Fund Fund Equity Fund
------------------- ------------------ ---------------- ----------------
Net investment income (loss) $ (118) $ 5,446 $ 694 $ 977
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments (447) 1,389 1,011 (6,824)
Foreign currency related items - 167 4 319
Futures contracts and options written - 3,030 - -
Investment securities sold short - (778) - -
Net change in unrealized appreciation
(depreciation) on:
Investments 4,371 2,052 35,302 27,809
Foreign currency related items - 331 - 67
Futures contracts and options written - 211 - -
Investment securities sold short - (50) - -
------------------- ------------------ ---------------- ----------------
------------------- ------------------ ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 3,806 11,798 37,011 22,348
------------------- ------------------ ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (4,512) (486) (1,395)
From net realized gains on
investment transactions - (5,677) - -
------------------- ------------------ ---------------- ----------------
------------------- ------------------ ---------------- ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (10,189) (486) (1,395)
------------------- ------------------ ---------------- ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 22,341 217,280 49,306 137,550
Reinvestment of distributions - 10,189 486 1,395
Cost of shares redeemed (11,000) (123,139) (74,693) (141,359)
------------------- ------------------ ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 11,341 104,330 (24,901) (2,414)
------------------- ------------------ ---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS 15,147 105,939 11,624 18,539
NET ASSETS BEGINNING OF PERIOD 17,846 211,362 153,303 78,272
------------------- ------------------ ---------------- ----------------
NET ASSETS END OF PERIOD $ 32,993 $ 317,301 $ 164,927 $ 96,811
=================== ================== ================ ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ 5,796 $ 695 $ (13)
=================== ================== ================ ================
(1)SHARE TRANSACTIONS
Shares sold 2,913 18,220 3,591 17,928
Reinvestment of distributions - 865 30 150
Shares redeemed (1,468) (10,317) (5,406) (18,310)
------------------
------------------- ------------------ ---------------- ----------------
Net increase (decrease) 1,445 8,768 (1,785) (232)
=================== ================== ================ ================
=================== ================== ================ ================
JNL/Putnam JNL/Putnam
Midcap Value
OPERATIONS Growth Fund Equity Fund
------------------ ----------------
Net investment income (loss) $ (118) $ 3,135
Net realized gain (loss) on:
Distributions from investment companies - -
Investments 49 (13,318)
Foreign currency related items - 1
Futures contracts and options written 4 -
Investment securities sold short - -
Net change in unrealized appreciation
(depreciation) on:
Investments 6,535 70,396
Foreign currency related items - -
Futures contracts and options written - -
Investment securities sold short - -
------------------ ----------------
------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 6,470 60,214
------------------ ----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - (3,298)
From net realized gains on
investment transactions - -
------------------ ----------------
------------------ ----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (3,298)
------------------ ----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 23,901 66,850
Reinvestment of distributions - 3,298
Cost of shares redeemed (20,109) (73,432)
------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 3,792 (3,284)
------------------ ----------------
NET INCREASE (DECREASE) IN NET ASSETS 10,262 53,632
NET ASSETS BEGINNING OF PERIOD 18,647 256,100
------------------ ----------------
NET ASSETS END OF PERIOD $ 28,909 $ 309,732
================== ================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ - $ -
================== ================
(1)SHARE TRANSACTIONS
Shares sold 4,195 4,659
Reinvestment of distributions - 210
Shares redeemed (3,601) (5,230)
------------------ ----------------
Net increase (decrease) 594 (361)
================== ================
================== ================
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/S&P JNL/S&P JNL/Salomon
Managed JNL/S&P Managed Brothers
Aggressive Managed Moderate High Yield
OPERATIONS Growth Fund Growth Fund Growth Fund Bond Fund
------------------- ------------------- ------------------- ------------------
Net investment income (loss) $ 1,172 $ 6,041 $ 5,356 $ 1,678
Net realized gain (loss) on:
Distributions from investment companies 243 1,941 1,653 -
Investments (1,249) (2,635) (823) 282
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 29,976 84,087 45,400 2,578
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------- ------------------- ------------------- ------------------
------------------- ------------------- ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 30,142 89,434 51,586 4,538
------------------- ------------------- ------------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (1,956) (9,969) (8,874) (1,671)
From net realized gains on
investment transactions - - - -
------------------- ------------------- ------------------- ------------------
------------------- ------------------- ------------------- ------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,956) (9,969) (8,874) (1,671)
------------------- ------------------- ------------------- ------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 59,755 280,481 185,638 14,252
Reinvestment of distributions 1,956 9,969 8,874 1,671
Cost of shares redeemed (22,991) (91,571) (62,735) (16,405)
------------------- ------------------- ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 38,720 198,879 131,777 (482)
------------------- ------------------- ------------------- ------------------
NET INCREASE (DECREASE) IN NET ASSETS 66,906 278,344 174,489 2,385
NET ASSETS BEGINNING OF PERIOD 97,110 331,543 227,833 17,079
------------------- ------------------- ------------------- ------------------
NET ASSETS END OF PERIOD $ 164,016 $ 609,887 $ 402,322 $ 19,464
=================== =================== =================== ==================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 11 $ 84 $ 75 $ 27
=================== =================== =================== ==================
(1)SHARE TRANSACTIONS
Shares sold 6,325 27,588 18,230 1,863
Reinvestment of distributions 189 915 824 209
Shares redeemed (2,495) (9,227) (6,190) (2,095)
------------------- ------------------- ------------------- ------------------
Net increase (decrease) 4,019 19,276 12,864 (23)
=================== =================== =================== ==================
=================== =================== =================== ==================
JNL/Salomon
JNL/Salomon Brothers
Brothers U.S. Government
Strategic Bond & Quality JNL/Select
OPERATIONS Fund Bond Fund Balanced Fund
-------------------- -------------------- -----------------
Net investment income (loss) $ 8,040 $ 9,586 $ 6,099
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments 5,683 1,988 5,162
Foreign currency related items 65 - -
Futures contracts and options written (196) (891) -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 6,751 (6,247) 38,651
Foreign currency related items (585) - -
Futures contracts and options written (134) (1,305) -
Investment securities sold short - - -
-------------------- -------------------- -----------------
-------------------- -------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 19,624 3,131 49,912
-------------------- -------------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (8,348) (8,985) (5,687)
From net realized gains on
investment transactions (2,473) (3,071) (2,244)
-------------------- -------------------- -----------------
-------------------- -------------------- -----------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (10,821) (12,056) (7,931)
-------------------- -------------------- -----------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 103,967 116,258 91,878
Reinvestment of distributions 10,821 12,056 7,931
Cost of shares redeemed (51,549) (166,380) (54,911)
-------------------- -------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 63,239 (38,066) 44,898
-------------------- -------------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS 72,042 (46,991) 86,879
NET ASSETS BEGINNING OF PERIOD 125,881 304,265 217,013
-------------------- -------------------- -----------------
NET ASSETS END OF PERIOD $ 197,923 $ 257,274 $ 303,892
==================== ==================== =================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (85) $ 603 $ 376
==================== ==================== =================
(1)SHARE TRANSACTIONS
Shares sold 9,069 9,701 6,381
Reinvestment of distributions 949 1,046 517
Shares redeemed (4,502) (13,912) (3,878)
-------------------- -------------------- -----------------
Net increase (decrease) 5,516 (3,165) 3,020
==================== ==================== =================
==================== ==================== =================
See Notes to the Financial Statements.
JNL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 2003
JNL/Select JNL/Select JNL/Select
Global Growth Large Cap Money
OPERATIONS Fund Growth Fund Market Fund
------------------ -------------------- -------------------
Net investment income (loss) $ 1,358 $ (661) $ 924
Net realized gain (loss) on:
Distributions from investment companies - - -
Investments (17,821) 3,046 -
Foreign currency related items (2,706) (951) -
Futures contracts and options written - - -
Investment securities sold short - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 58,340 68,639 -
Foreign currency related items 2,057 706 -
Futures contracts and options written - - -
Investment securities sold short - - -
------------------ -------------------- -------------------
------------------ -------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 41,228 70,779 924
------------------ -------------------- -------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income - - (924)
From net realized gains on
investment transactions - - -
-------------------- -------------------
------------------ -------------------- -------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - - (924)
------------------ -------------------- -------------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 122,022 150,530 591,660
Reinvestment of distributions - - 924
Cost of shares redeemed (172,032) (179,341) (622,664)
------------------ -------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (50,010) (28,811) (30,080)
------------------ -------------------- -------------------
NET INCREASE (DECREASE) IN NET ASSETS (8,782) 41,968 (30,080)
NET ASSETS BEGINNING OF PERIOD 206,070 215,884 214,520
------------------ -------------------- -------------------
NET ASSETS END OF PERIOD $ 197,288 $ 257,852 $ 184,440
================== ==================== ===================
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ (16) $ - $ -
================== ==================== ===================
(1)SHARE TRANSACTIONS
Shares sold 8,741 10,677 591,660
Reinvestment of distributions - - 924
Shares redeemed (12,071) (12,638) (622,664)
------------------ -------------------- -------------------
Net increase (decrease) (3,330) (1,961) (30,080)
================== ==================== ===================
================== ==================== ===================
JNL/T.Rowe JNL/T.Rowe JNL/T.Rowe
Price Price Price
JNL/Select Established Mid-Cap Value
OPERATIONS Value Fund Growth Fund Growth Fund Fund
------------------ ------------------- ------------------ --------------
Net investment income (loss) $ 523 $ 524 $ (1,757) $ 2,920
Net realized gain (loss) on:
Distributions from investment companies - - - -
Investments 871 (9,452) 16,865 806
Foreign currency related items - (130) (7) (12)
Futures contracts and options written - - - -
Investment securities sold short - - - -
Net change in unrealized appreciation
(depreciation) on:
Investments 8,332 109,404 80,745 76,421
Foreign currency related items - - - -
Futures contracts and options written - - - -
Investment securities sold short - - - -
------------------ ------------------- ------------------ --------------
------------------ ------------------- ------------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS 9,726 100,346 95,846 80,135
------------------ ------------------- ------------------ --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (96) (118) - (2,064)
From net realized gains on
investment transactions (207) - (1,870) -
------------------ ------------------- ------------------ --------------
------------------ ------------------- ------------------ --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (303) (118) (1,870) (2,064)
------------------ ------------------- ------------------ --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares 34,874 151,073 186,200 176,771
Reinvestment of distributions 303 118 1,870 2,064
Cost of shares redeemed (8,072) (93,740) (150,832) (72,542)
------------------ ------------------- ------------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS 27,105 57,451 37,238 106,293
------------------ ------------------- ------------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS 36,528 157,679 131,214 184,364
NET ASSETS BEGINNING OF PERIOD 18,004 316,367 248,327 220,106
------------------ ------------------- ------------------ --------------
NET ASSETS END OF PERIOD $ 54,532 $ 474,046 $ 379,541 $ 404,470
================== =================== ================== ==============
UNDISTRIBUTED (ACCUMULATED) NET
INVESTMENT INCOME (LOSS) $ 523 $ 368 $ (6) $ 2,909
================== =================== ================== ==============
(1)SHARE TRANSACTIONS
Shares sold 2,693 10,368 9,080 17,188
Reinvestment of distributions 21 7 77 178
Shares redeemed (645) (6,729) (7,666) (7,283)
------------------ ------------------- ------------------ --------------
Net increase (decrease) 2,069 3,646 1,491 10,083
================== =================== ================== ==============
================== =================== ================== ==============
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
12/31/2004 $ 10.61 $ 0.01 $ 1.05 $ 1.06 $ -
12/31/2003 8.16 (0.02) 2.47 2.45 -
12/31/2002 10.97 (0.03) (2.76) (2.79) -
10/29(a)-12/31/01 10.00 - 0.97 0.97 -
Class B
03/05(a)-12/31/04 10.99 0.02 0.68 0.70 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
12/31/2004 11.67 (0.12) 0.92 0.80 -
12/31/2003 8.43 (0.05) 3.29 3.24 -
12/31/2002 11.60 (0.07) (3.10) (3.17) -
10/29(a)-12/31/01 10.00 (0.01) 1.61 1.60 -
Class B
03/05(a)-12/31/04 12.21 (0.02) 0.29 0.27 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
12/31/2004 14.76 0.01 0.73 0.74 -
12/31/2003 10.91 (0.03) 3.88 3.85 -
12/31/2002 16.33 (0.04) (5.38) (5.42) -
12/31/2001 18.58 (0.04) (2.18) (2.22) -
12/31/2000 22.91 (0.01) (3.08) (3.09) -
Class B
03/05(a)-12/31/04 15.41 0.04 0.09 0.13 (0.04)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
Class A
12/31/2004 9.92 0.02 0.61 0.63 (0.03)
12/31/2003 7.98 0.01 1.93 1.94 -
12/31/2002 11.57 (0.01) (3.58) (3.59) -
12/31/2001 13.55 - (1.97) (1.97) (0.01)
12/31/2000 16.64 - (2.93) (2.93) -
Class B
03/05(a)-12/31/04 10.19 0.01 0.35 0.36 (0.01)
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
12/31/2004 $ - $ - $ 11.67 9.99 % $ 191,003 96.49%
12/31/2003 - - 10.61 30.02 36,421 140.00
12/31/2002 (0.02) - 8.16 (25.47) 6,857 180.06
10/29(a)-12/31/01 - - 10.97 9.70 6,058 14.93
Class B
03/05(a)-12/31/04 - - 11.69 6.37 24 296.49
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
12/31/2004 - - 12.47 6.86 44,358 92.65
12/31/2003 - - 11.67 38.43 43,940 30.17
12/31/2002 - - 8.43 (27.32) 12,915 46.22
10/29(a)-12/31/01 - - 11.60 16.00 7,665 3.86
Class B
03/05(a)-12/31/04 - - 12.48 2.21 7 92.65
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
12/31/2004 - - 15.50 5.02 292,638 195.33
12/31/2003 - - 14.76 35.29 244,667 168.09
12/31/2002 - - 10.91 (33.19) 175,439 236.63
12/31/2001 (0.03) - 16.33 (11.97) 341,162 86.80
12/31/2000 (1.24) - 18.58 (13.44) 459,577 88.34
Class B
03/05(a)-12/31/04 - - 15.50 0.82 7 195.33
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
Class A
12/31/2004 - - 10.52 6.31 44,967 83.59
12/31/2003 - - 9.92 24.31 128,518 49.69
12/31/2002 - - 7.98 (31.03) 86,891 54.13
12/31/2001 - - 11.57 (14.57) 140,511 65.21
12/31/2000 (0.16) - 13.55 (17.59) 92,981 47.01
Class B
03/05(a)-12/31/04 - - 10.54 3.53 3 83.59
- ---------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/AIM LARGE CAP GROWTH FUND
Class A
12/31/2004 1.07 % 0.09 % 1.10 % 0.06 %
12/31/2003 1.10 (0.41) 1.18 (0.49)
12/31/2002 1.10 (0.33) 1.15 (0.38)
10/29(a)-12/31/01 1.10 (0.26) 1.32 (0.48)
Class B
03/05(a)-12/31/04 0.86 0.55 0.90 0.52
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/AIM SMALL CAP GROWTH FUND
Class A
12/31/2004 1.16 (0.92) 1.18 (0.94)
12/31/2003 1.15 (0.89) 1.19 (0.93)
12/31/2002 1.15 (0.83) 1.17 (0.85)
10/29(a)-12/31/01 1.15 (0.74) 1.24 (0.83)
Class B
03/05(a)-12/31/04 0.96 (0.68) 0.98 (0.70)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/ALGER GROWTH FUND
Class A
12/31/2004 1.04 0.11 1.11 0.04
12/31/2003 1.08 (0.27) 1.15 (0.34)
12/31/2002 1.08 (0.25) n/a n/a
12/31/2001 1.07 (0.23) n/a n/a
12/31/2000 1.07 (0.03) n/a n/a
Class B
03/05(a)-12/31/04 0.79 0.88 0.86 0.81
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/ALLIANCE CAPITAL GROWTH FUND
Class A
12/31/2004 0.88 0.02 0.97 (0.07)
12/31/2003 0.88 0.11 0.91 0.08
12/31/2002 0.88 (0.10) 0.89 (0.11)
12/31/2001 0.87 0.05 0.90 0.02
12/31/2000 0.87 0.01 n/a n/a
Class B
03/05(a)-12/31/04 0.75 0.29 0.83 0.21
- ------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
12/31/2004 $ 14.17 $ 0.11 $ 0.79 $ 0.90 $ (0.11)
12/31/2003 11.45 0.09 2.72 2.81 (0.09)
12/31/2002 14.53 0.10 (3.08) (2.98) (0.10)
12/31/2001 16.21 0.07 (1.67) (1.60) (0.07)
12/31/2000 18.47 0.08 (0.08) - (0.09)
Class B
03/05(a)-12/31/04 14.68 0.07 0.34 0.41 (0.07)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
12/31/2004 16.81 (0.12) 3.28 3.16 -
12/31/2003 12.01 (0.10) 4.90 4.80 -
12/31/2002 15.55 (0.08) (3.46) (3.54) -
12/31/2001 14.20 (0.41) 1.97 1.56 -
12/31/2000 16.97 (0.04) (2.23) (2.27) -
Class B
03/05(a)-12/31/04 18.33 (0.04) 1.73 1.69 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
12/31/2004 9.27 0.12 0.75 0.87 (0.12)
12/31/2003 8.26 0.12 1.01 1.13 (0.12)
12/31/2002 9.05 0.20 (0.80) (0.60) (0.19)
12/31/2001 9.69 0.21 (0.65) (0.44) (0.20)
05/01(a)-12/31/00 10.00 0.11 (0.31) (0.20) (0.11)
Class B
03/05(a)-12/31/04 9.52 0.06 0.58 0.64 (0.06)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
12/31/2004 13.28 0.05 2.34 2.39 -
12/31/2003 9.79 (0.06) 3.55 3.49 -
12/31/2002 13.83 (0.07) (3.97) (4.04) -
12/31/2001 23.55 (0.11) (9.35) (9.46) -
12/31/2000 43.62 (0.20) (14.90) (15.10) -
Class B
03/05(a)-12/31/04 13.97 0.05 1.68 1.73 -
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
12/31/2004 $ - $ - $ 14.96 6.32% $ 357,978 100.79%
12/31/2003 - - 14.17 24.54 245,913 80.50
12/31/2002 - - 11.45 (20.53) 149,242 94.37
12/31/2001 (0.01) - 14.53 (9.83) 174,813 102.56
12/31/2000 (2.17) - 16.21 0.28 146,888 192.40
Class B
03/05(a)-12/31/04 - - 15.02 2.81 20 100.79
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
12/31/2004 - - 19.97 18.80 169,746 53.14
12/31/2003 - - 16.81 39.97 109,972 70.06
12/31/2002 - - 12.01 (22.77) 76,198 71.45
12/31/2001 (0.21) - 15.55 11.00 112,967 65.36
12/31/2000 (0.50) - 14.20 (13.25) 77,200 89.43
Class B
03/05(a)-12/31/04 - - 20.02 9.22 7 53.14
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
12/31/2004 - - 10.02 9.42 104,564 163.88
12/31/2003 - - 9.27 13.73 114,262 60.48
12/31/2002 - - 8.26 (6.57) 75,591 90.71
12/31/2001 - - 9.05 (4.49) 72,281 105.66
05/01(a)-12/31/00 - - 9.69 (2.00) 44,294 41.10
Class B
03/05(a)-12/31/04 - - 10.10 6.78 2 163.88
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
12/31/2004 - - 15.67 18.00 210,402 231.52
12/31/2003 - - 13.28 35.65 158,013 31.95
12/31/2002 - - 9.79 (29.21) 135,669 56.03
12/31/2001 (0.26) - 13.83 (40.19) 260,726 96.69
12/31/2000 (4.97) - 23.55 (34.74) 496,830 110.81
Class B
03/05(a)-12/31/04 - - 15.70 12.38 3 231.52
- ---------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/EAGLE CORE EQUITY FUND
Class A
12/31/2004 0.96 % 0.85 % 1.00 % 0.81 %
12/31/2003 0.97 0.83 1.01 0.79
12/31/2002 0.97 0.78 1.00 0.75
12/31/2001 0.97 0.58 0.99 0.56
12/31/2000 0.97 0.57 n/a n/a
Class B
03/05(a)-12/31/04 0.76 1.33 0.80 1.29
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/EAGLE SMALLCAP EQUITY FUND
Class A
12/31/2004 1.06 (0.76) 1.07 (0.77)
12/31/2003 1.05 (0.75) 1.10 (0.80)
12/31/2002 1.05 (0.49) 1.08 (0.52)
12/31/2001 1.05 (0.31) 1.07 (0.33)
12/31/2000 1.05 (0.30) n/a n/a
Class B
03/05(a)-12/31/04 0.84 (0.53) 0.86 (0.55)
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/FMR BALANCED FUND
Class A
12/31/2004 1.03 1.25 1.04 1.24
12/31/2003 1.05 1.64 1.07 1.62
12/31/2002 1.05 2.11 1.07 2.09
12/31/2001 1.05 2.48 1.06 2.47
05/01(a)-12/31/00 1.05 2.42 n/a n/a
Class B
03/05(a)-12/31/04 0.77 1.38 0.78 1.37
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
JNL/FMR CAPITAL GROWTH FUND
Class A
12/31/2004 1.02 0.39 1.04 0.37
12/31/2003 1.05 (0.51) 1.07 (0.53)
12/31/2002 1.04 (0.51) 1.09 (0.56)
12/31/2001 1.01 (0.61) 1.03 (0.63)
12/31/2000 0.99 (0.67) n/a n/a
Class B
03/05(a)-12/31/04 0.78 0.97 0.80 0.95
- -----------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
12/31/2004 $ 7.65 $ 0.07 $ 1.65 $ 1.72 $ (0.08)
12/31/2003 5.56 - 2.19 2.19 (0.10)
12/31/2002 7.75 0.07 (2.13) (2.06) (0.13)
12/31/2001 9.79 0.09 (2.08) (1.99) (0.04)
12/31/2000 13.15 0.04 (2.10) (2.06) (0.06)
Class B
03/05(a)-12/31/04 8.17 0.03 1.18 1.21 (0.01)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
12/31/2004 13.16 0.02 3.21 3.23 (0.02)
12/31/2003 10.23 0.04 2.92 2.96 (0.03)
12/31/2002 11.97 0.03 (1.72) (1.69) (0.03)
12/31/2001 11.75 0.06 1.50 1.56 (0.06)
12/31/2000 9.63 0.03 2.40 2.43 (0.03)
Class B
03/05(a)-12/31/04 14.28 0.02 2.13 2.15 (0.02)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
12/31/2004 13.05 (0.02) 2.03 2.01 (0.01)
12/31/2003 9.40 0.01 3.64 3.65 -
12/31/2002 11.40 - (1.96) (1.96) -
12/31/2001 10.28 0.02 1.77 1.79 (0.02)
12/31/2000 8.84 0.02 1.45 1.47 (0.03)
Class B
03/05(a)-12/31/04 13.92 - 1.16 1.16 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Class A
12/31/2004 10.47 0.35 0.04 0.39 (0.03)
12/31/2003 10.48 0.23 0.07 0.30 (0.19)
01/15(a)-12/31/02 10.00 0.36 0.50 0.86 (0.36)
Class B
03/05(a)-12/31/04 10.73 0.12 0.02 0.14 (0.11)
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
12/31/2004 $ - $ - $ 9.29 22.54% $ 82,081 90.31%
12/31/2003 - - 7.65 39.43 29,609 131.90
12/31/2002 - - 5.56 (26.59) 5,642 146.48
12/31/2001 (0.01) - 7.75 (20.33) 7,304 82.18
12/31/2000 (1.24) - 9.79 (15.45) 9,264 120.75
Class B
03/05(a)-12/31/04 - - 9.37 14.85 5 90.31
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
12/31/2004 (1.71) - 14.66 24.72 222,542 100.95
12/31/2003 - - 13.16 28.89 142,798 88.62
12/31/2002 (0.02) - 10.23 (14.08) 76,890 98.18
12/31/2001 (1.28) - 11.97 13.24 26,886 143.12
12/31/2000 (0.28) - 11.75 25.37 15,478 134.53
Class B
03/05(a)-12/31/04 (1.71) - 14.70 15.20 29 100.95
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
12/31/2004 (1.24) - 13.81 15.38 218,851 105.06
12/31/2003 - - 13.05 38.83 155,191 70.95
12/31/2002 (0.04) - 9.40 (17.22) 74,559 94.87
12/31/2001 (0.65) - 11.40 17.34 35,164 78.01
12/31/2000 - - 10.28 16.60 14,614 58.07
Class B
03/05(a)-12/31/04 (1.24) - 13.84 8.34 27 105.06
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Class A
12/31/2004 - - 10.83 3.74 116,440 155.71 (d)
12/31/2003 (0.12) - 10.47 2.87 83,547 70.57
01/15(a)-12/31/02 (0.02) - 10.48 8.55 34,286 77.16
Class B
03/05(a)-12/31/04 - - 10.76 1.35 17 155.71 (d)
- --------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/JPMORGAN INTERNATIONAL VALUE FUND
Class A
12/31/2004 1.13 % 1.14 % n/a % n/a %
12/31/2003 1.12 0.75 n/a n/a
12/31/2002 1.08 0.95 n/a n/a
12/31/2001 1.07 1.07 n/a n/a
12/31/2000 1.07 0.40 n/a n/a
Class B
03/05(a)-12/31/04 0.93 1.36 n/a n/a
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
JNL/LAZARD MID CAP VALUE FUND
Class A
12/31/2004 1.08 0.20 1.13 0.15
12/31/2003 1.08 0.40 1.17 0.31
12/31/2002 1.08 0.41 1.12 0.37
12/31/2001 1.07 0.65 1.20 0.52
12/31/2000 1.07 0.37 n/a n/a
Class B
03/05(a)-12/31/04 0.88 0.45 0.93 0.40
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
JNL/LAZARD SMALL CAP VALUE FUND
Class A
12/31/2004 1.12 (0.20) 1.18 (0.26)
12/31/2003 1.13 0.17 1.20 0.10
12/31/2002 1.14 (0.03) 1.17 (0.06)
12/31/2001 1.15 0.32 1.21 0.26
12/31/2000 1.15 0.36 n/a n/a
Class B
03/05(a)-12/31/04 0.92 (0.10) 0.98 (0.16)
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT BOND INDEX FUND
Class A
12/31/2004 0.61 3.31 n/a n/a
12/31/2003 0.60 3.29 n/a n/a
01/15(a)-12/31/02 0.60 4.12 n/a n/a
Class B
03/05(a)-12/31/04 0.41 3.38 n/a n/a
- --------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio
Turnover including dollar roll transactions for JNL/Mellon Capital
Management Bond Index Fund is 215.24%.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
12/31/2004 $ 7.93 $ 0.07 $ 0.82 $ 0.89 $ (0.02)
12/31/2003 6.16 0.03 1.76 1.79 (0.02)
12/31/2002 8.21 0.04 (2.09) (2.05) -
12/31/2001 9.34 0.03 (1.13) (1.10) (0.03)
12/31/2000 10.58 0.04 (1.24) (1.20) (0.03)
Class B
03/05(a)-12/31/04 8.24 0.08 0.48 0.56 (0.07)
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
12/31/2004 11.45 0.16 2.07 2.23 (0.01)
12/31/2003 8.44 0.10 3.04 3.14 (0.13)
01/15(a)-12/31/02 10.00 0.15 (1.51) (1.36) (0.20)
Class B
03/05(a)-12/31/04 12.05 0.05 1.62 1.67 (0.06)
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX FUND
Class A
12/31/2004 11.47 0.06 1.75 1.81 -
12/31/2003 8.55 0.03 2.92 2.95 (0.03)
01/15(a)-12/31/02 10.00 0.06 (1.45) (1.39) (0.06)
Class B
03/05(a)-12/31/04 12.28 0.05 0.98 1.03 (0.04)
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
12/31/2004 9.84 0.12 0.87 0.99 (0.12)
12/31/2003 7.79 0.03 2.13 2.16 (0.08)
01/15(a)-12/31/02 10.00 0.05 (2.26) (2.21) -
Class B
03/05(a)-12/31/04 10.25 0.09 0.52 0.61 (0.09)
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
12/31/2004 11.46 0.07 1.93 2.00 -
12/31/2003 7.94 0.05 3.59 3.64 (0.04)
01/15(a)-12/31/02 10.00 0.08 (2.06) (1.98) (0.08)
Class B
03/05(a)-12/31/04 12.33 0.06 1.08 1.14 (0.05)
- -------------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P 500 STOCK INDEX FUND
Class A
12/31/2004 $ - $ - $ 8.80 11.27 % $ 181,444 66.90%
12/31/2003 - - 7.93 29.09 89,068 123.94
12/31/2002 - - 6.16 (24.94) 42,071 63.08
12/31/2001 - - 8.21 (11.78) 31,415 55.97
12/31/2000 (0.01) - 9.34 (11.38) 22,622 57.14
Class B
03/05(a)-12/31/04 - - 8.73 6.85 4 66.90
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL INDEX FUND
Class A
12/31/2004 - - 13.67 19.49 298,098 2.77
12/31/2003 - - 11.45 37.31 97,126 1.66
01/15(a)-12/31/02 - - 8.44 (13.60) 26,518 32.40
Class B
03/05(a)-12/31/04 - - 13.66 13.85 50 2.77
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P MIDCAP INDEX FUND
Class A
12/31/2004 - - 13.28 15.79 198,751 13.75
12/31/2003 - - 11.47 34.55 81,077 18.34
01/15(a)-12/31/02 - - 8.55 (13.94) 12,728 60.00
Class B
03/05(a)-12/31/04 - - 13.27 8.42 90 13.75
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P INDEX FUND
Class A
12/31/2004 (0.05) - 10.66 10.06 361,845 6.74
12/31/2003 (0.03) - 9.84 27.79 190,338 8.90
01/15(a)-12/31/02 - - 7.79 (22.10) 46,776 1.89
Class B
03/05(a)-12/31/04 (0.05) - 10.72 5.91 239 6.74
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
12/31/2004 (0.03) - 13.43 17.42 173,822 17.66
12/31/2003 (0.08) - 11.46 45.88 76,130 38.17
01/15(a)-12/31/02 - - 7.94 (19.79) 20,027 49.44
Class B
03/05(a)-12/31/04 (0.03) - 13.39 9.24 85 17.66
- ---------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT ENHANCED S&P STOCK INDEX FUND
Class A
12/31/2004 0.78 % 1.17 % 0.78 % 1.17 %
12/31/2003 0.87 0.87 0.89 0.85
12/31/2002 0.89 0.69 0.90 0.68
12/31/2001 0.90 0.44 n/a n/a
12/31/2000 0.90 0.56 n/a n/a
Class B
03/05(a)-12/31/04 0.58 1.55 0.58 1.55
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT INTERNATIONAL FUND
Class A
12/31/2004 0.66 1.83 n/a n/a
12/31/2003 0.65 1.59 n/a n/a
01/15(a)-12/31/02 0.65 1.56 n/a n/a
Class B
03/05(a)-12/31/04 0.46 1.19 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 400 MIDCAP INDEX
Class A
12/31/2004 0.60 0.62 n/a n/a
12/31/2003 0.60 0.65 0.61 0.64
01/15(a)-12/31/02 0.60 0.60 0.61 0.59
Class B
03/05(a)-12/31/04 0.40 0.84 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT S&P 500 INDEX FUND
Class A
12/31/2004 0.60 1.49 n/a n/a
12/31/2003 0.60 1.22 0.61 1.21
01/15(a)-12/31/02 0.60 1.15 0.61 1.14
Class B
03/05(a)-12/31/04 0.40 2.07 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/MELLON CAPITAL MANAGEMENT SMALL CAP INDEX FUND
Class A
12/31/2004 0.60 0.81 n/a n/a
12/31/2003 0.60 0.75 0.61 0.74
01/15(a)-12/31/02 0.60 0.96 0.62 0.94
Class B
03/05(a)-12/31/04 0.40 1.25 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
12/31/2004 $ 10.12 $ 0.03 $ 1.78 $ 1.81 $ (0.01)
12/31/2003 7.20 0.03 2.89 2.92 -
12/31/2002 9.27 0.03 (2.10) (2.07) -
05/01(a)-12/31/01 10.00 0.03 (0.76) (0.73) -
Class B
03/05(a)-12/31/04 10.71 0.03 1.21 1.24 (0.02)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
12/31/2004 8.28 0.01 0.34 0.35 -
12/31/2003 7.03 (0.03) 1.28 1.25 -
12/31/2002 9.41 (0.03) (2.35) (2.38) -
05/01(a)-12/31/01 10.00 0.01 (0.59) (0.58) (0.01)
Class B
03/05(a)-12/31/04 8.57 0.03 0.04 0.07 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
12/31/2004 11.76 0.17 0.36 0.53 (0.20)
12/31/2003 11.60 0.13 0.42 0.55 (0.17)
12/31/2002 10.66 0.24 0.70 0.94 -
12/31/2001 10.29 0.30 0.68 0.98 (0.28)
12/31/2000 9.64 0.45 0.68 1.13 (0.47)
Class B
03/05(a)-12/31/04 12.02 0.08 0.22 0.30 (0.04)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
12/31/2004 16.54 0.20 1.96 2.16 (0.11)
12/31/2003 13.04 0.08 3.47 3.55 (0.05)
12/31/2002 17.18 - (4.14) (4.14) -
12/31/2001 22.91 (0.01) (5.72) (5.73) -
12/31/2000 28.45 (0.05) (5.03) (5.08) -
Class B
03/05(a)-12/31/04 17.26 0.15 1.32 1.47 (0.14)
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
12/31/2004 $ - $ - $ 11.92 17.93 % $ 235,047 17.59%
12/31/2003 - - 10.12 40.56 104,625 38.02
12/31/2002 - - 7.20 (22.33) 50,522 64.05
05/01(a)-12/31/01 - - 9.27 (7.30) 59,841 44.80
Class B
03/05(a)-12/31/04 - - 11.93 11.60 24 217.59
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
12/31/2004 - - 8.63 4.23 24,479 124.90
12/31/2003 - - 8.28 17.78 32,993 94.02
12/31/2002 - - 7.03 (25.29) 17,846 55.58
05/01(a)-12/31/01 - - 9.41 (5.82) 13,557 58.88
Class B
03/05(a)-12/31/04 - - 8.64 0.82 1 124.90
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
12/31/2004 (0.13) - 11.96 4.45 390,124 162.80 (d)
12/31/2003 (0.22) - 11.76 4.78 317,301 146.76
12/31/2002 - - 11.60 8.85 211,362 116.05
12/31/2001 (0.33) - 10.66 9.52 54,851 112.25
12/31/2000 (0.01) - 10.29 11.75 21,715 221.61
Class B
03/05(a)-12/31/04 (0.13) - 12.15 2.46 30 162.80 (d)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
12/31/2004 - - 18.59 13.04 149,669 91.21
12/31/2003 - - 16.54 27.23 164,927 74.82
12/31/2002 - - 13.04 (24.10) 153,303 123.47
12/31/2001 - - 17.18 (25.01) 282,049 91.77
12/31/2000 (0.46) - 22.91 (17.85) 497,299 77.67
Class B
03/05(a)-12/31/04 - - 18.59 8.55 11 191.21
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GLOBAL GROWTH FUND
Class A
12/31/2004 1.06 % 0.56 % n/a % n/a %
12/31/2003 1.05 0.57 n/a n/a
12/31/2002 1.05 0.44 n/a n/a
05/01(a)-12/31/01 1.05 0.54 n/a n/a
Class B
03/05(a)-12/31/04 0.86 0.59 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/OPPENHEIMER GROWTH FUND
Class A
12/31/2004 1.01 0.12 n/a n/a
12/31/2003 1.00 (0.49) n/a n/a
12/31/2002 1.00 (0.49) n/a n/a
05/01(a)-12/31/01 1.00 0.17 n/a n/a
Class B
03/05(a)-12/31/04 0.82 0.61 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/PIMCO TOTAL RETURN BOND FUND
Class A
12/31/2004 0.81 1.72 n/a n/a
12/31/2003 0.80 2.02 n/a n/a
12/31/2002 0.80 3.23 n/a n/a
12/31/2001 0.80 4.35 n/a n/a
12/31/2000 0.93 (e) 5.98 n/a n/a
Class B
03/05(a)-12/31/04 0.61 3.09 n/a n/a
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
JNL/PUTNAM EQUITY FUND
Class A
12/31/2004 0.99 0.95 1.06 0.88
12/31/2003 1.00 0.45 1.07 0.38
12/31/2002 0.99 0.23 1.05 0.17
12/31/2001 0.96 (0.07) 0.99 (0.10)
12/31/2000 0.94 (0.22) 0.95 (0.23)
Class B
03/05(a)-12/31/04 0.78 2.15 0.85 2.08
- -----------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio
Turnover including dollar roll transactions for JNL/PIMCO Total Return Bond
Fund is 352.28%.
(e) The ratio of net operating expenses was 0.80%.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Class A
12/31/2004 $ 9.61 $ 0.10 $ 1.47 $ 1.57 $ (0.14)
12/31/2003 7.59 0.10 2.06 2.16 (0.14)
12/31/2002 9.66 0.08 (2.07) (1.99) (0.08)
12/31/2001 12.23 0.08 (2.56) (2.48) (0.07)
12/31/2000 16.79 0.08 (2.49) (2.41) (0.01)
Class B
03/05(a)-12/31/04 10.11 0.09 0.99 1.08 (0.13)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
12/31/2004 6.82 (0.04) 1.31 1.27 -
12/31/2003 5.11 (0.03) 1.74 1.71 -
12/31/2002 7.23 (0.04) (2.08) (2.12) -
12/31/2001 9.90 (0.05) (2.62) (2.67) -
05/01(a)-12/31/00 10.00 - (0.10) (0.10) -
Class B
03/05(a)-12/31/04 7.32 (0.02) 0.81 0.79 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
12/31/2004 16.09 0.24 1.33 1.57 (0.24)
12/31/2003 13.06 0.16 3.04 3.20 (0.17)
12/31/2002 16.50 0.16 (3.44) (3.28) (0.16)
12/31/2001 17.78 0.15 (1.27) (1.12) (0.16)
12/31/2000 16.78 0.16 1.00 1.16 (0.16)
Class B
03/05(a)-12/31/04 16.82 0.21 0.66 0.87 (0.21)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
Class A
12/31/2004 10.57 0.02 1.31 1.33 (0.01)
12/31/2003 8.44 0.06 2.20 2.26 (0.13)
12/31/2002 10.45 0.06 (1.97) (1.91) (0.10)
12/31/2001 12.86 0.02 (1.38) (1.36) (0.35)
12/31/2000 14.69 (0.10) (1.28) (1.38) (0.17)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED CONSERVATIVE FUND
Class A
10/04(a)-12/31/04 10.00 0.14 0.21 0.35 -
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Class A
12/31/2004 $ - $ - $ 11.04 16.34 % $ 94,998 75.17%
12/31/2003 - - 9.61 28.53 96,811 113.94
12/31/2002 - - 7.59 (20.58) 78,272 134.52
12/31/2001 (0.02) - 9.66 (20.29) 103,972 66.42
12/31/2000 (2.14) - 12.23 (13.99) 126,816 138.12
Class B
03/05(a)-12/31/04 - - 11.06 10.72 1 75.17
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
12/31/2004 - - 8.09 18.62 33,829 111.57
12/31/2003 - - 6.82 33.46 28,909 116.81
12/31/2002 - - 5.11 (29.32) 18,647 116.70
12/31/2001 - - 7.23 (26.97) 29,541 211.61
05/01(a)-12/31/00 - - 9.90 (1.00) 46,122 58.67
Class B
03/05(a)-12/31/04 - - 8.11 10.79 1 111.57
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
12/31/2004 - - 17.42 9.76 215,615 46.27
12/31/2003 - - 16.09 24.55 309,732 67.86
12/31/2002 - - 13.06 (19.87) 256,100 62.19
12/31/2001 - - 16.50 (6.32) 347,246 82.54
12/31/2000 - - 17.78 6.96 422,750 86.43
Class B
03/05(a)-12/31/04 - - 17.48 5.17 1 46.27
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
Class A
12/31/2004 - - 11.89 12.61 670,711 62.01
12/31/2003 - - 10.57 26.80 164,016 3.87
12/31/2002 - - 8.44 (18.26) 97,110 37.53
12/31/2001 (0.70) - 10.45 (10.58) 107,519 67.65
12/31/2000 (0.28) - 12.86 (9.37) 95,075 24.94
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED CONSERVATIVE FUND
Class A
10/04(a)-12/31/04 - - 10.35 3.50 13,909 13.03
- ---------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/PUTNAM INTERNATIONAL EQUITY FUND
Class A
12/31/2004 1.17 % 0.96 % 1.19 % 0.94 %
12/31/2003 1.23 1.17 1.26 1.14
12/31/2002 1.18 0.83 1.21 0.80
12/31/2001 1.17 0.76 1.18 0.75
12/31/2000 1.17 0.44 n/a n/a
Class B
03/05(a)-12/31/04 0.92 1.30 0.94 1.28
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/PUTNAM MIDCAP GROWTH FUND
Class A
12/31/2004 1.06 (0.62) 1.14 (0.70)
12/31/2003 1.05 (0.52) 1.11 (0.58)
12/31/2002 1.05 (0.62) 1.10 (0.67)
12/31/2001 1.05 (0.46) 1.09 (0.50)
05/01(a)-12/31/00 1.05 (0.09) 1.06 (0.10)
Class B
03/05(a)-12/31/04 0.78 (0.34) 0.87 (0.43)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/PUTNAM VALUE EQUITY FUND
Class A
12/31/2004 0.97 1.24 1.01 1.20
12/31/2003 0.98 1.16 1.03 1.11
12/31/2002 0.98 1.06 1.01 1.03
12/31/2001 0.96 0.89 0.99 0.86
12/31/2000 0.96 1.05 0.97 1.04
Class B
03/05(a)-12/31/04 0.75 1.58 0.79 1.54
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED AGGRESSIVE GROWTH FUND
Class A
12/31/2004 0.18 0.41 n/a n/a
12/31/2003 0.20 0.97 n/a n/a
12/31/2002 0.20 0.77 n/a n/a
12/31/2001 0.20 1.16 n/a n/a
12/31/2000 0.20 1.62 n/a n/a
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED CONSERVATIVE FUND
Class A
10/04(a)-12/31/04 0.18 12.94 n/a n/a
- -------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED GROWTH FUND
Class A
12/31/2004 $ 11.07 $ 0.07 $ 1.19 $ 1.26 $ (0.06)
12/31/2003 9.25 0.08 1.93 2.01 (0.19)
12/31/2002 10.70 0.08 (1.41) (1.33) (0.12)
12/31/2001 12.37 0.01 (0.92) (0.91) (0.32)
12/31/2000 13.42 0.03 (0.62) (0.59) (0.21)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE FUND
Class A
10/04(a)-12/31/04 10.00 0.11 0.43 0.54 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE GROWTH FUND
Class A
12/31/2004 10.91 0.12 0.92 1.04 (0.11)
12/31/2003 9.48 0.10 1.58 1.68 (0.25)
12/31/2002 10.54 0.10 (0.99) (0.89) (0.17)
12/31/2001 11.83 0.08 (0.65) (0.57) (0.34)
12/31/2000 12.45 0.11 (0.31) (0.20) (0.23)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
12/31/2004 8.03 0.17 0.49 0.66 (0.18)
12/31/2003 6.98 0.75 1.05 1.80 (0.75)
12/31/2002 7.42 0.87 (0.44) 0.43 (0.87)
12/31/2001 7.67 0.65 (0.24) 0.41 (0.66)
12/31/2000 8.71 0.64 (1.05) (0.41) (0.63)
Class B
03/05(a)-12/31/04 8.15 0.14 0.41 0.55 (0.04)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
12/31/2004 11.40 0.56 0.23 0.79 (0.53)
12/31/2003 10.63 0.49 0.95 1.44 (0.52)
12/31/2002 10.41 0.65 0.22 0.87 (0.65)
12/31/2001 10.37 0.68 0.01 0.69 (0.65)
12/31/2000 10.25 0.68 0.06 0.74 (0.62)
Class B
03/05(a)-12/31/04 11.60 0.20 0.41 0.61 (0.18)
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED GROWTH FUND
Class A
12/31/2004 $ (0.04) $ - $ 12.23 11.41 % $ 1,001,562 46.80%
12/31/2003 - - 11.07 21.73 609,887 3.33
12/31/2002 - - 9.25 (12.40) 331,543 32.67
12/31/2001 (0.44) - 10.70 (7.34) 298,741 59.64
12/31/2000 (0.25) - 12.37 (4.35) 222,052 19.23
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE FUND
Class A
10/04(a)-12/31/04 - - 10.54 5.40 19,873 0.39
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE GROWTH FUND
Class A
12/31/2004 (0.17) - 11.67 9.58 619,106 38.10
12/31/2003 - - 10.91 17.75 402,322 2.24
12/31/2002 - - 9.48 (8.48) 227,833 31.43
12/31/2001 (0.38) - 10.54 (4.78) 187,495 49.46
12/31/2000 (0.19) - 11.83 (1.55) 139,701 25.30
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
12/31/2004 - - 8.51 8.22 284,949 149.00
12/31/2003 - - 8.03 25.79 19,464 71.74
12/31/2002 - - 6.98 5.76 17,079 77.04
12/31/2001 - - 7.42 5.33 20,220 48.73
12/31/2000 - - 7.67 (4.67) 16,437 35.52
Class B
03/05(a)-12/31/04 - - 8.66 6.84 13 149.00
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
12/31/2004 (0.19) - 11.47 6.91 236,706 74.16 (d)
12/31/2003 (0.15) - 11.40 13.53 197,923 61.03
12/31/2002 - - 10.63 8.38 125,881 83.34
12/31/2001 - - 10.41 6.71 123,310 86.36
12/31/2000 - - 10.37 7.28 116,654 93.13
Class B
03/05(a)-12/31/04 (0.19) - 11.84 5.20 8 74.16 (d)
- ------------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED GROWTH FUND
Class A
12/31/2004 0.17 % 0.67 % n/a % n/a %
12/31/2003 0.20 1.40 n/a n/a
12/31/2002 0.20 1.26 n/a n/a
12/31/2001 0.20 1.66 n/a n/a
12/31/2000 0.20 2.61 n/a n/a
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE FUND
Class A
10/04(a)-12/31/04 0.18 11.25 n/a n/a
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/S&P MANAGED MODERATE GROWTH FUND
Class A
12/31/2004 0.18 1.20 n/a n/a
12/31/2003 0.20 1.79 n/a n/a
12/31/2002 0.20 1.75 n/a n/a
12/31/2001 0.20 2.42 n/a n/a
12/31/2000 0.20 3.53 n/a n/a
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS HIGH YIELD BOND FUND
Class A
12/31/2004 0.83 6.97 n/a n/a
12/31/2003 0.90 8.47 n/a n/a
12/31/2002 0.90 8.88 n/a n/a
12/31/2001 0.90 8.54 n/a n/a
12/31/2000 0.90 9.17 n/a n/a
Class B
03/05(a)-12/31/04 0.63 7.20 n/a n/a
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS STRATEGIC BOND FUND
Class A
12/31/2004 0.94 4.63 n/a n/a
12/31/2003 0.95 5.03 n/a n/a
12/31/2002 0.95 6.22 n/a n/a
12/31/2001 0.98 (e) 6.46 n/a n/a
12/31/2000 0.95 7.42 n/a n/a
Class B
03/05(a)-12/31/04 0.72 4.87 n/a n/a
- ----------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio
Turnover including dollar roll transactions for JNL/Salomon Brothers
Stratigic Bond Fund is 422.85%.
(e) The ratio of net operating expenses was 0.95%.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
12/31/2004 $ 11.47 $ 0.54 $ (0.10) $ 0.44 $ (0.53)
12/31/2003 11.89 0.45 (0.31) 0.14 (0.42)
12/31/2002 11.17 0.42 0.86 1.28 (0.42)
12/31/2001 10.96 0.50 0.25 0.75 (0.49)
12/31/2000 10.36 0.60 0.59 1.19 (0.59)
Class B
03/05(a)-12/31/04 11.75 0.16 0.02 0.18 (0.15)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SELECT BALANCED FUND
Class A
12/31/2004 15.55 0.36 1.33 1.69 (0.02)
12/31/2003 13.14 0.32 2.51 2.83 (0.30)
12/31/2002 14.00 0.42 (0.69) (0.27) (0.42)
12/31/2001 13.13 0.41 0.98 1.39 (0.44)
12/31/2000 12.60 0.50 0.52 1.02 (0.46)
Class B
03/05(a)-12/31/04 16.19 0.17 0.89 1.06 (0.17)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
12/31/2004 17.43 0.10 1.88 1.98 -
12/31/2003 14.06 0.13 3.24 3.37 -
12/31/2002 19.48 0.10 (5.38) (5.28) (0.14)
12/31/2001 25.97 0.08 (6.19) (6.11) (0.35)
12/31/2000 35.69 0.07 (6.55) (6.48) (0.59)
Class B
03/05(a)-12/31/04 18.37 0.11 0.97 1.08 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
12/31/2004 17.65 (0.02) 2.08 2.06 -
12/31/2003 13.03 (0.04) 4.66 4.62 -
12/31/2002 18.55 (0.04) (5.48) (5.52) -
12/31/2001 26.65 - (8.04) (8.04) (0.01)
12/31/2000 39.97 0.16 (8.45) (8.29) (0.51)
Class B
03/05(a)-12/31/04 18.67 0.04 1.04 1.08 -
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
12/31/2004 $ (0.07) $ - $ 11.31 3.85 % $ 197,863 64.93% (d)
12/31/2003 (0.14) - 11.47 1.18 257,274 43.56
12/31/2002 (0.14) - 11.89 11.47 304,265 35.72
12/31/2001 (0.05) - 11.17 6.92 226,275 69.10
12/31/2000 - - 10.96 11.50 138,122 49.09
Class B
03/05(a)-12/31/04 (0.07) - 11.71 1.54 13 164.93 (d)
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT BALANCED FUND
Class A
12/31/2004 (0.10) - 17.12 10.88 381,316 120.61
12/31/2003 (0.12) - 15.55 21.57 303,892 54.21
12/31/2002 (0.17) - 13.14 (1.93) 217,013 68.30
12/31/2001 (0.08) - 14.00 10.57 212,196 42.38
12/31/2000 (0.03) - 13.13 8.25 155,270 25.76
Class B
03/05(a)-12/31/04 (0.10) - 16.98 6.54 22 120.61
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
12/31/2004 - - 19.41 11.36 217,952 296.09
12/31/2003 - - 17.43 23.97 197,288 120.39
12/31/2002 - - 14.06 (27.12) 206,070 65.19
12/31/2001 (0.03) - 19.48 (23.50) 389,796 93.37
12/31/2000 (2.65) - 25.97 (18.28) 665,187 65.56
Class B
03/05(a)-12/31/04 - - 19.45 5.88 1 296.09
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
12/31/2004 - - 19.71 11.67 295,491 154.46
12/31/2003 - - 17.65 35.46 257,852 78.47
12/31/2002 - - 13.03 (29.76) 215,884 117.19
12/31/2001 (0.05) - 18.55 (30.18) 436,946 100.02
12/31/2000 (4.52) - 26.65 (20.97) 744,972 61.65
Class B
03/05(a)-12/31/04 - - 19.75 5.78 2 154.46
- -----------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/SALOMON BROTHERS U.S. GOVERNMENT & QUALITY BOND FUND
Class A
12/31/2004 0.79 % 3.92 % n/a % n/a %
12/31/2003 0.78 3.26 n/a n/a
12/31/2002 0.78 4.26 n/a n/a
12/31/2001 0.82 (e) 5.09 n/a n/a
12/31/2000 0.80 6.06 n/a n/a
Class B
03/05(a)-12/31/04 0.61 4.22 n/a n/a
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/SELECT BALANCED FUND
Class A
12/31/2004 0.80 2.42 n/a n/a
12/31/2003 0.80 2.49 0.81 2.48
12/31/2002 0.81 2.98 0.81 2.98
12/31/2001 0.81 3.28 n/a n/a
12/31/2000 0.82 4.02 n/a n/a
Class B
03/05(a)-12/31/04 0.60 2.68 n/a n/a
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/SELECT GLOBAL GROWTH FUND
Class A
12/31/2004 1.11 0.58 1.21 0.48
12/31/2003 1.13 0.70 1.18 0.65
12/31/2002 1.07 0.45 1.10 0.42
12/31/2001 1.05 0.42 1.06 0.41
12/31/2000 1.03 0.03 n/a n/a
Class B
03/05(a)-12/31/04 0.84 1.02 0.94 0.92
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/SELECT LARGE CAP GROWTH FUND
Class A
12/31/2004 1.00 (0.09) 1.02 (0.11)
12/31/2003 1.04 (0.28) 1.08 (0.32)
12/31/2002 1.02 (0.18) 1.10 (0.26)
12/31/2001 0.99 0.05 1.02 0.02
12/31/2000 0.98 0.25 n/a n/a
Class B
03/05(a)-12/31/04 0.76 0.40 0.77 0.39
- ------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions. The Portfolio
Turnover including dollar roll transactions for JNL/Salomon Brothers U.S.
Governement Quality & Bond Fund is 643.06%.
(e) The ratio of net operating expenses was 0.79%.
See Notes to the Financial Statements.
JNL Series Trust
Financial Highlights
Increase (Decrease) from
Investment Operations
-------------------------------------------------------
Net Asset -------------------------------------------------------
Value Net Net Realized Total from Distributions from
Beginning Investment & Unrealized Investment Net Investment
Period Ended of Period Income (Loss) Gains (Losses) Operations Income
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SELECT MONEY MARKET FUND
Class A
12/31/2004 $ 1.00 $ 0.01 $ - $ 0.01 $ (0.01)
12/31/2003 1.00 0.01 - 0.01 (0.01)
12/31/2002 1.00 0.01 - 0.01 (0.01)
12/31/2001 1.00 0.03 - 0.03 (0.03)
12/31/2000 1.00 0.06 - 0.06 (0.06)
Class B
03/05(a)-12/31/04 1.00 0.01 - 0.01 (0.01)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/SELECT VALUE FUND
Class A
12/31/2004 14.70 0.12 2.05 2.17 (0.06)
12/31/2003 10.97 0.11 3.71 3.82 (0.03)
09/30(a)-12/31/02 10.00 0.06 0.91 0.97 -
Class B
03/05(a)-12/31/04 15.47 0.11 1.31 1.42 (0.11)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
12/31/2004 16.77 0.08 1.58 1.66 (0.07)
12/31/2003 12.85 0.02 3.90 3.92 -
12/31/2002 16.78 0.01 (3.92) (3.91) (0.02)
12/31/2001 18.74 0.02 (1.94) (1.92) -
12/31/2000 21.70 - (0.11) (0.11) (0.01)
Class B
03/05(a)-12/31/04 17.44 0.08 0.93 1.01 (0.07)
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
12/31/2004 24.89 (0.13) 4.61 4.48 -
12/31/2003 18.05 (0.12) 7.08 6.96 -
12/31/2002 23.12 (0.15) (4.92) (5.07) -
12/31/2001 23.47 (0.13) (0.22) (0.35) -
12/31/2000 23.71 (0.04) 1.67 1.63 -
Class B
03/05(a)-12/31/04 26.20 (0.03) 3.25 3.22 -
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
12/31/2004 11.92 0.12 1.68 1.80 (0.08)
12/31/2003 9.22 0.06 2.70 2.76 (0.06)
12/31/2002 11.11 0.09 (1.96) (1.87) -
12/31/2001 11.14 0.08 0.01 0.09 (0.08)
05/01(a)-12/31/00 10.00 0.09 1.16 1.25 (0.09)
Class B
03/05(a)-12/31/04 12.50 0.05 1.18 1.23 (0.04)
- -----------------------------------------------------------------------------------------------------------------------
Supplemental Data
Distributions from -------------------------------------------------
Net Realized -------------------------------------------------
Gains on Net Asset Net Assets,
Investment Return of Value, End Total End of Period Portfolio
Period Ended Transactions Capital of Period Return(b) (in thousands) Turnover (d)
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT MONEY MARKET FUND
Class A
12/31/2004 $ - $ - $ 1.00 0.78 % $ 237,815 n/a %
12/31/2003 - - 1.00 0.46 184,440 n/a
12/31/2002 - - 1.00 1.07 214,520 n/a
12/31/2001 - - 1.00 3.45 242,518 n/a
12/31/2000 - - 1.00 5.83 185,012 n/a
Class B
03/05(a)-12/31/04 - - 1.00 0.91 38 n/a
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/SELECT VALUE FUND
Class A
12/31/2004 (0.10) - 16.71 14.77 154,283 136.31
12/31/2003 (0.06) - 14.70 34.80 54,532 16.19
09/30(a)-12/31/02 - - 10.97 9.70 18,004 8.64
Class B
03/05(a)-12/31/04 (0.10) - 16.68 9.22 27 136.31
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GROWTH FUND
Class A
12/31/2004 - - 18.36 9.89 606,885 36.69
12/31/2003 - - 16.77 30.54 474,046 36.37
12/31/2002 - - 12.85 (23.33) 316,367 46.16
12/31/2001 (0.04) - 16.78 (10.23) 474,105 63.38
12/31/2000 (2.84) - 18.74 (0.34) 411,855 77.19
Class B
03/05(a)-12/31/04 - - 18.38 5.81 24 236.69
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH FUND
Class A
12/31/2004 (1.50) - 27.87 18.03 541,739 34.02
12/31/2003 (0.12) - 24.89 38.60 379,541 42.89
12/31/2002 - - 18.05 (21.93) 248,327 42.22
12/31/2001 - - 23.12 (1.49) 366,028 44.26
12/31/2000 (1.87) - 23.47 7.16 419,796 47.90
Class B
03/05(a)-12/31/04 (1.50) - 27.92 12.32 33 34.02
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
12/31/2004 - - 13.64 15.12 485,126 42.10
12/31/2003 - - 11.92 29.97 404,470 28.06
12/31/2002 (0.02) - 9.22 (16.84) 220,106 38.21
12/31/2001 (0.04) - 11.11 0.78 216,408 42.29
05/01(a)-12/31/00 (0.02) - 11.14 12.54 26,446 44.84
Class B
03/05(a)-12/31/04 - - 13.69 9.87 34 42.10
- ---------------------------------------------------------------------------------------------------------------------------------
Assuming No Expense Reimburse-
ment or Fees Paid Indirectly
--------------------------------------
--------------------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Expenses to Income (Loss) Expenses to Income (Loss)
Average Net to Average Average Net to Average
Period Ended Assets (c) Net Assets (c) Assets (c) Net Assets (c)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/SELECT MONEY MARKET FUND
Class A
12/31/2004 0.61 % 0.81 % n/a % n/a %
12/31/2003 0.69 0.47 n/a n/a
12/31/2002 0.69 1.07 n/a n/a
12/31/2001 0.69 3.28 n/a n/a
12/31/2000 0.70 5.73 n/a n/a
Class B
03/05(a)-12/31/04 0.40 1.57 n/a n/a
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
JNL/SELECT VALUE FUND
Class A
12/31/2004 0.86 1.50 n/a n/a
12/31/2003 0.85 1.81 0.88 1.78
09/30(a)-12/31/02 0.85 2.24 0.98 2.11
Class B
03/05(a)-12/31/04 0.66 1.73 n/a n/a
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE ESTABLISHED GRO
Class A
12/31/2004 0.92 0.51 0.93 0.50
12/31/2003 0.92 0.14 0.95 0.11
12/31/2002 0.92 0.06 0.94 0.04
12/31/2001 0.92 0.12 0.92 0.12
12/31/2000 0.92 0.03 0.92 0.03
Class B
03/05(a)-12/31/04 0.73 1.21 0.74 1.20
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE MID-CAP GROWTH
Class A
12/31/2004 1.02 (0.55) 1.04 (0.57)
12/31/2003 1.03 (0.60) 1.04 (0.61)
12/31/2002 1.03 (0.67) 1.04 (0.68)
12/31/2001 1.02 (0.56) 1.03 (0.57)
12/31/2000 1.02 (0.20) n/a n/a
Class B
03/05(a)-12/31/04 0.81 (0.24) 0.82 (0.25)
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
JNL/T.ROWE PRICE VALUE FUND
Class A
12/31/2004 0.99 1.01 1.01 0.99
12/31/2003 1.00 1.05 1.02 1.03
12/31/2002 1.00 0.97 1.02 0.95
12/31/2001 1.00 0.93 1.02 0.91
05/01(a)-12/31/00 1.00 1.47 1.01 1.46
Class B
03/05(a)-12/31/04 0.79 1.51 0.80 1.50
- ------------------------------------------------------------------------------------------------------------
- --------------------------
(a) Commencement of operations.
(b) Total Return is not annualized for periods less than one year and does not
reflect payment of the expenses that apply to the variable accounts or any
annuity charges.
(c) Annualized for periods less than one year.
(d) The Portfolio Turnover excludes dollar roll transactions.
JNL Series Trust
Notes to the Financial Statements
NOTE 1. ORGANIZATION
JNL Series Trust ("The Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated June
1, 1994. The Trust, consisting of diversified and non-diversified Funds, is
registered with the Securities and Exchange Commission under the Investment
Company Act of 1940. The Trust currently offers shares in forty (40) separate
funds (the "Funds"), each with its own investment objective. JNL/AIM Large Cap
Growth Fund and JNL/AIM Small Cap Growth Fund for which AIM Capital Management
Inc. serves as the sub-adviser; JNL/Alger Growth Fund, for which Fred Alger
Management, Inc. serves as the sub-adviser; JNL/Alliance Capital Growth Fund,
for which Alliance Capital Management L.P. serves as the sub-adviser; JNL/Eagle
Core Equity Fund and JNL/Eagle SmallCap Equity Fund, for which Eagle Asset
Management, Inc. serves as the sub-adviser; JNL/FMR Balanced Fund and JNL/FMR
Capital Growth Fund, for which Fidelity Management & Research Co. serves as the
sub-adviser; JNL/JPMorgan International Value Fund, for which JPMorgan
Investment Management Inc. serves as the sub-adviser; JNL/Lazard Mid Cap Value
Fund and JNL/Lazard Small Cap Value Fund, for which Lazard Asset Management
serves as sub-adviser; JNL/Mellon Capital Management Bond Index Fund, JNL/Mellon
Capital Management Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital
Management International Index Fund, JNL/Mellon Capital Management S&P 400
MidCap Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund and
JNL/Mellon Capital Management Small Cap Index Fund, for which Mellon Capital
Management Corp. serves as the sub-adviser; JNL/Oppenheimer Global Growth Fund
and JNL/Oppenheimer Growth Fund, for which OppenheimerFunds Inc. serves as the
sub-adviser; JNL/PIMCO Total Return Bond Fund, for which Pacific Investment
Management Company serves as the sub-adviser; JNL/Putnam Equity Fund, JNL/Putnam
International Equity Fund, JNL/Putnam Midcap Growth Fund and JNL/Putnam Value
Equity Fund, for which Putnam Investment Management LLC serves as the
sub-adviser; JNL/S&P Managed Aggressive Growth Fund, JNL/S&P Managed
Conservative Fund, JNL/S&P Managed Growth Fund, JNL/S&P Managed Moderate Fund,
and JNL/S&P Managed Moderate Growth Fund, (collectively the "JNL/S&P Funds") for
which Standard & Poor's Investment Advisory Services, Inc. serves as the
sub-adviser; JNL/Salomon Brothers High Yield Bond Fund, JNL/Salomon Brothers
Strategic Bond Fund and JNL/Salomon Brothers U.S. Government & Quality Bond
Fund, for which Salomon Brothers Asset Management Inc. serves as the
sub-adviser; JNL/Select Balanced Fund, JNL/Select Global Growth Fund, JNL/Select
Large Cap Growth Fund, JNL/Select Money Market Fund and JNL/Select Value Fund,
for which Wellington Management Company, LLP serves as the sub-adviser; and
JNL/T. Rowe Price Established Growth Fund, JNL/T. Rowe Price Mid-Cap Growth Fund
and JNL/T. Rowe Price Value Fund, for which T. Rowe Price Associates, Inc.
serves as the sub-adviser. The JNL/S&P Funds have a fund of fund structure which
invests in other affiliated underlying funds.
Effective February 18, 2004, JNL/Curian Enhanced S&P 500 Stock Index Fund,
JNL/Curian S&P 400 MidCap Index Fund, JNL/Curian S&P 500 Index Fund, and
JNL/Curian Small Cap Index Fund became the JNL/Mellon Capital Management
Enhanced S&P 500 Stock Index Fund, JNL/Mellon Capital Management S&P 400 MidCap
Index Fund, JNL/Mellon Capital Management S&P 500 Index Fund, and JNL/Mellon
Capital Management Small Cap Index Fund, respectively, and are managed by Mellon
Capital Management Corp. For the period from December 15, 2003 to February 18,
2004, these funds were managed by Curian Capital LLC.
Effective May 1, 2004, JNL/Janus Balanced Fund and JNL/Janus Capital Growth
Fund, became JNL/FMR Balanced Fund and JNL/FMR Capital Growth Fund,
respectively, and are managed by Fidelity Management & Research Company;
JNL/Janus Aggressive Growth Fund and JNL/Janus Global Equities Fund became
JNL/Select Large Cap Growth Fund and JNL/Select Global Growth Fund,
respectively, and are managed by Wellington Management Company LLP. Prior to May
1, 2004, these funds were managed by Janus Capital Management LLC.
Effective October 4, 2004, JNL/PPM America Balanced Fund, JNL/PPM America Money
Market Fund and JNL/PPM America Value Fund, became JNL/Select Balanced Fund,
JNL/Select Money Market Fund and JNL/Select Value Fund, respectively, and are
managed by Wellington Management Company, LLP. Prior to October 4, 2004, these
funds were managed by PPM America, Inc.
Effective October 4, 2004, JNL/S&P Aggressive Growth Fund I, JNL/S&P
Conservative Growth Fund I and JNL/S&P Moderate Growth Fund I became JNL/S&P
Managed Aggressive Growth Fund, JNL/S&P Managed Moderate Growth Fund and JNL/S&P
Managed Growth Fund, respectively.
Effective April 30, 2004, the following acquisitions occurred: JNL/AIM Large Cap
Growth Fund acquired JNL/AIM Premier Equity II Fund; JNL/Eagle Core Equity Fund
acquired JNL/Janus Growth & Income Fund; JNL/S&P Aggressive Growth Fund I
acquired JNL/S&P Aggressive Growth Fund and JNL/S&P Aggressive Growth Fund II;
JNL/S&P Conservative Growth Fund I acquired JNL/S&P Conservative Growth Fund and
JNL/ S&P Conservative Growth Fund II; JNL/S&P Equity Aggressive Growth Fund I
acquired JNL/S&P Equity Aggressive Growth Fund II; JNL/S&P Equity Growth Fund I
acquired JNL/S&P Equity Growth Fund II; JNL/S&P Moderate Growth Fund I acquired
JNL/S&P Moderate Growth Fund and JNL/S&P Moderate Growth Fund II; JNL/S&P Very
Aggressive Growth Fund I acquired JNL/S&P Very Aggressive Growth Fund II . See
Note 7 for additional information regarding fund acquisitions.
Effective October 1, 2004, the following acquisitions occurred: JNL/Salomon
Brothers High Yield Bond Fund acquired JNL/PPM America High Yield Bond Fund;
JNL/Select Balanced Fund acquired JNL/Salomon Brothers Balanced Fund; JNL/S&P
Managed Aggressive Growth Fund acquired JNL/S&P Core Index 50 Fund, JNL/S&P Core
Index 75 Fund, JNL/S&P Equity Aggressive Growth Fund I, JNL/S&P Equity Growth
Fund I, and JNL/S&P Very Aggressive Growth Fund I; JNL/S&P Managed Growth Fund
acquired JNL/S&P Core Index 100 Fund. See note 7 for additional information
regarding fund acquisitions.
Each Portfolio offers Class A and Class B shares. The two classes differ
principally in applicable 12b-1 Service Fees. Shareholders of each class also
bear certain expenses that pertain to that particular class. All shareholders
bear the common expenses of the Portfolios and earn income and realized
gains/losses from the Portfolio pro rata based on the average daily net assets
of each class, without discrimination between share classes. No class has
preferential dividend rights. Differences in per share dividend rates generally
result from the relative weighting of pro rata income and realized gain
allocations and from differences in separate class expenses, including
distribution, and shareholder servicing fees.
Jackson National Asset Management, LLC ("JNAM L.L.C."), a wholly-owned
subsidiary of Jackson National Life Insurance Company ("Jackson National"),
serves as investment adviser ("Adviser") for all the Funds of the Trust. PPM
America, Inc. and Curian Capital LLC are affiliates of the Adviser. Shares are
presently offered to Jackson National (Jackson National Life Insurance Company
of New York) and its separate accounts to fund the benefits of variable annuity
and variable life policies. Shares are also sold to qualified plans.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed and
consistently applied by the Trust in the preparation of its financial
statements. Certain prior year amounts have been reclassified in conformity with
the current year's presentation.
Use of Estimates - The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
increase and decreases in net assets from operations during the reporting
period. Actual results could differ from those estimates.
Security Valuation - Bonds are valued on the basis of prices furnished by
pricing services which determine prices for normal institutional size trading
units of bonds or based on quotations provided by reputable broker-dealers.
Stocks are valued at the last quoted sale price on the New York stock exchange
or final bid price in absence of a sale. Stocks not listed on a national or
foreign stock exchange are valued at the closing bid price on the
over-the-counter market. If trading or events occurring in other markets after
the close of the foreign stock exchange are expected to have a material affect
on the value of the investments, or when quotations are not readily available,
securities are valued at fair market value determined by procedures approved by
the Board of Trustees. Short-term securities maturing within 60 days of
purchase, and all securities in the JNL/Select Money Market Fund, are valued at
amortized cost, which approximates market value. American Depository Receipts
("ADRs") and Global Depository Receipts ("GDRs"), which are certificates
representing shares of foreign securities deposited in domestic and foreign
banks, are traded and valued in U.S. dollars. The JNL/S&P Funds are valued at
the net asset value per share of each underlying Fund determined as of the close
of the New York Stock Exchange on the valuation date.
Security Transactions and Investment Income - Security transactions are recorded
on the trade date. Dividend income, net of applicable withholding taxes, is
recorded on the ex-dividend date. Interest income, including level-yield
amortization of discounts and premiums, is accrued daily. The Fund may place a
debt obligation on non-accrual status and reduce related interest income by
ceasing current accruals and writing off interest receivables when the
collection of all or a portion of interest has become doubtful. A debt
obligation is removed from non-accrual status when the issuer resumes interest
payments or when collectibility of interest is reasonably assured. Realized
gains and losses are determined on the specific identification basis.
Foreign Securities - Investing in securities of foreign companies and foreign
governments involves special risks and considerations not typically associated
with investing in U.S. companies and the U.S. Government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S. Government.
Foreign Currency Translations - The accounting records of each Fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S. dollars
using exchange rates in effect as of 11:00 a.m. Eastern Standard Time. Purchases
and sales of investment securities, income receipts, and expense payments are
translated into U.S. dollars at the exchange rates prevailing on the respective
dates of such transactions.
Realized gains and losses arising from selling foreign currencies and certain
non-dollar denominated fixed income securities, entering into forward foreign
currency exchange contracts, and accruing income or settling portfolio purchases
and sales denominated in a foreign currency paid or received at a later date are
recorded as net realized foreign currency related gains (losses) and are
considered ordinary income for tax purposes. Realized and unrealized gains and
losses on investments which result from changes in foreign currency exchange
rates are primarily included in net realized gains (losses) and net unrealized
appreciation (depreciation), respectively.
Forward Foreign Currency Exchange Contracts - A Fund may enter into forward
foreign currency exchange contracts ("contracts"), generally to hedge foreign
currency exposure between trade date and settlement date on security purchases
and sales ("spot hedges") or to minimize foreign currency risk on portfolio
securities denominated in foreign currencies ("position hedges"). All contracts
are valued at the forward currency exchange rate and are marked-to-market daily.
When the contract is open, the change in market value is recorded as net
unrealized appreciation (depreciation) on foreign currency related items. When
the contract is closed, the difference between the value of the contract at the
time it was opened and the value at the time it was closed is recorded as net
realized gain (loss) on foreign currency related items.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of the Funds' portfolio securities, but it
does establish a rate of exchange that can be achieved in the future. These
forward foreign currency contracts involve market risk in excess of the
unrealized appreciation (depreciation) of forward foreign currency contracts
reflected in the Statements of Assets and Liabilities. Although contracts limit
the risk of loss due to a decline in the value of the hedged currency, they also
limit any potential gain that might result should the value of the currency
increase. Additionally, the Fund could be exposed to the risk of a previously
hedged position becoming unhedged if the counterparties to the contracts are
unable to meet the terms of the contracts.
When-Issued and Delayed Delivery Transactions - A Fund may purchase securities
on a when-issued or delayed delivery basis. On the trade date, the Fund records
purchases of when-issued securities and reflect the values of such securities in
determining net asset value in the same manner as other portfolio securities.
Income is not accrued until settlement date. The Fund will segregate and
maintain, until the settlement date, liquid assets in an amount sufficient to
meet the purchase price.
Unregistered Securities - A Fund may own certain investment securities which are
unregistered and thus restricted to resale. These securities are valued by the
Fund after giving due consideration to pertinent factors including recent
private sales, market conditions and the issuer's financial performance. Where
future dispositions of the securities require registration under the Securities
Act of 1933, the Funds have the right to include their securities in such
registration generally without cost to the Funds. The Funds have no right to
require registration of unregistered securities.
Options Transactions - A Fund may write covered call options on portfolio
securities. A Fund may buy and sell options contracts to manage its exposure to
changes in securities prices and foreign currencies and as an efficient means of
adjusting overall exposure to certain markets. Written options involve, to
varying degrees, risk of loss in excess of the option value reflected in the
Statements of Assets and Liabilities. The risk in writing a covered call option
is that the Fund may forego the opportunity of profit if the market price of the
underlying security increases and the option is exercised. Option contracts are
valued at the closing prices on their exchanges and the Fund will realize a gain
or loss upon expiration or closing of the option transaction. When a written
call option is exercised, the proceeds on the sale of the underlying security
are adjusted by the amount of premium received.
Futures Contracts - A Fund may utilize futures contracts to a limited extent. A
Fund may buy and sell futures contracts to manage its exposure to changes in
securities prices and foreign currencies and as an efficient means of adjusting
overall exposure to certain markets. The risks associated with the use of
futures contracts include the possibility that the value may not correlate with
the change in the value of the hedged instruments. In addition, there is the
risk that the Fund may not be able to enter into a closing transaction because
of an illiquid market. Upon entering into a futures contract, the Fund is
required to deposit with the broker an amount of cash or cash equivalents equal
to a certain percentage of the contract amount. This is known as the "initial
margin". Futures contracts are valued based upon their quoted daily settlement
prices. The Fund receives from or pays to brokers an amount of cash equal to the
daily fluctuation in the value of the contracts. Such receipts or payments,
known as the "variation margin," are recorded by the Fund as unrealized
appreciation (depreciation) until the contracts are terminated at which time
realized gains and losses are recognized. Futures contracts involve, to varying
degrees, risk of loss in excess of the futures variation margin reflected in the
Statements of Assets and Liabilities.
Dollar Roll Transactions - A Fund may enter into dollar roll transactions with
respect to mortgage securities in which the Fund sells mortgage securities and
simultaneously agrees to repurchase similar (same type, coupon and maturity)
securities at a later date at an agreed upon price. The value of the dollar roll
transactions are reflected in the Funds' Statements of Assets and Liabilities as
investment securities purchased. During the period between the sale and
repurchase, the Fund forgoes principal and interest paid on the mortgage
securities sold. The Fund is compensated by the interest earned on the cash
proceeds of the initial sale and from negotiated fees paid by brokers offered as
an inducement to the Fund to "roll over" its purchase commitments. These fees
are accrued as income over the life of the dollar roll contract. Dollar roll
transactions involve the risk that the market value of the securities sold by
the Fund may decline below the repurchase price of those similar securities
which the Fund is obligated to purchase or that the return earned by the Fund
with the proceeds of a dollar roll may not exceed transaction costs.
Repurchase Agreements - A Fund may invest in repurchase agreements. A repurchase
agreement involves the purchase of a security by a Fund and a simultaneous
agreement (generally by a bank or broker-dealer) to repurchase that security
back from the Fund at a specified price and date or upon demand. Securities
pledged as collateral for repurchase agreements are held by the Fund's custodian
bank until the maturity of the repurchase agreement. Procedures for all
repurchase agreements have been designed to assure that the daily market value
of the collateral is in excess of the repurchase agreement in the event of
default.
Reverse Repurchase Agreements - A Fund may engage in reverse repurchase
agreements to borrow short term funds. The value of the reverse repurchase
agreements that the Fund has committed to sell is reflected in the Statements of
Assets and Liabilities. A Fund pays interest on amounts borrowed which is
reflected in the Statements of Operations. The Fund will maintain securities in
segregated accounts with its custodian that at all times are in an amount equal
to their obligations under the reverse repurchase agreements. Reverse repurchase
agreements involve the risks that the market value of the securities sold by the
Fund may decline below the repurchase price and, if the proceeds from the
reverse repurchase agreement are invested in securities, that the market value
of the securities bought may decline below the repurchase price of the
securities sold.
Securities Loaned - The Trust has entered into a securities lending arrangement
with the custodian. Under the terms of the agreement, the Funds receive a fee
equal to a percentage of the net income from lending transactions. In exchange
for such fees, the custodian is authorized to loan securities on behalf of the
Funds and is required to maintain collateral at least equal in value to the
value of the securities loaned. Cash collateral is invested by the custodian in
the Mellon GSL Delaware Business Trust Collateral Fund (a pooled money market
instrument approved by the Advisor). The Funds bear the risk of any deficiency
in the amount of collateral available for return to a borrower due to a loss in
an approved investment.
Securities Sold Short - A Fund may enter into short sales transactions. A short
sale is a transaction in which a Fund sells securities it does not own in
anticipation of a decline in the market price of the securities. The Fund is
obligated to deliver securities at the market price at the time the short
position is closed. Potential losses from short sales may be unlimited, whereas
losses from purchases cannot exceed the total amount invested.
Swaps - A Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund may enter into interest rate, total return, forward swap
spread lock and credit default swap agreements to manage its exposure to
interest rates and credit risk. Interest rate swap agreements involve the
exchange by the Fund with another party of their respective commitments to pay
or receive interest, e.g., an exchange of floating rate payments for fixed rate
payments with respect to a notional amount of principal. Total return swap
agreements involve commitments to pay interest in exchange for a market-linked
return, both based on notional amounts. To the extent the total return of the
security or index underlying the transaction exceeds or falls short of the
offsetting interest rate obligation, the Fund will receive a payment from or
make a payment to the counterparty. Forward spread lock swap agreements involve
commitments to pay or receive a settlement amount calculated as the difference
between the swap spread and a fixed spread, multiplied by the notional amount
times the duration of the swap. The swap spread is the difference between the
benchmark swap rate (market rate) and the specific Treasury rate. In a credit
default swap, one party makes a stream of payments to another party in exchange
for the right to receive a specified return in the event of a default by a third
party. The Fund may use credit default swaps to provide a measure of protection
against defaults of sovereign issuers (i.e., to reduce risk where the Fund owns
or has exposure to the sovereign issuer) or to take an active long or short
position with respect to the likelihood of a particular issuer's default. Swaps
are marked to market daily based upon quotations from market makers and vendors
and the change in value, if any, is recorded as unrealized gain or loss in the
Statement of Operations. Net periodic payments or any payments received or made
at the end of the measurement period are recorded as realized gain or loss in
the Statement of Operations. Entering into these agreements involves, to varying
degrees, elements of credit, market and documentation risk in excess of the
amounts recognized on the Statement of Assets and Liabilities. Such risks
involve the possibility that there will be no liquid market for these
agreements, that the counterparty to the agreements may default on its
obligation to perform or disagree as to the meaning of contractual terms in the
agreements, and that there may be unfavorable changes in interest rates.
Inflation-Indexed Bonds - A Fund may invest in inflation-indexed bonds which are
fixed income securities whose principal value is periodically adjusted to the
rate of inflation. The interest rate on these bonds is generally fixed at
issuance at a rate lower than typical bonds. Over the life of an
inflation-indexed bond, however, interest will be paid based on a principal
value which is adjusted for inflation. Any increase in the principal amount of
an inflation-indexed bond will be considered interest income, even though
investors do not receive their principal until maturity.
Distributions to Shareholders - The JNL/Select Money Market Fund declares
dividends daily and pays dividends monthly. For all other Funds, dividends from
net investment income are declared and paid annually, but may be done more
frequently to avoid excise tax. Distributions of net realized capital gains, if
any, will be distributed at least annually.
Federal Income Taxes - The Trust's policy is to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and to
distribute income in amounts that will avoid federal income or excise taxes for
each Fund. The Trust periodically makes reclassifications among certain of its
capital accounts as a result of the recognition and characterization of certain
income and capital gain distributions determined annually in accordance with
federal tax regulations which may differ from accounting principles generally
accepted in the United States of America.
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has an investment advisory agreement with JNAM L.L.C. whereby JNAM
L.L.C. provides investment management services. Each Fund pays JNAM L.L.C. an
annual fee, computed daily and payable monthly, based on a specified percentage
of the average daily net assets of each Fund. A portion of this fee is paid by
JNAM to sub-advisers as compensation for their services. The following is a
schedule of the fees each Fund is currently obligated to pay JNAM L.L.C.
$0 to $50 to $100 to $150 to$200 to $250 to $300 to $350 to$500 to $750 to Over
(M - Millions; B - Billions) $50 M $100 M $150 M $200 M $250 M $300 M $350 M $500 M $750 M $1.5 B $1.5 B
JNL/AIM Large Cap Growth Fund (a) 0.75 %0.75 % 0.75 % 0.75 %0.75 % 0.75 % 0.70 % 0.70 %0.70 % 0.70 % 0.70 %
JNL/AIM Small Cap Growth Fund 0.85 0.85 0.85 0.85 0.85 0.85 0.80 0.80 0.80 0.80 0.80
JNL/Alger Growth Fund (h) 0.70 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.60 0.60 0.60
JNL/Alliance Capital Growth Fund 0.575 0.575 0.575 0.575 0.575 0.50 0.50 0.50 0.50 0.50 0.50
JNL/Eagle Core Equity Fund 0.70 0.65 0.65 0.65 0.65 0.65 0.55 0.55 0.55 0.55 0.55
JNL/Eagle SmallCap Equity Fund 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.65
JNL/FMR Balanced Fund (b) 0.70 0.70 0.70 0.70 0.70 0.70 0.70 0.70 0.65 0.60 0.60
JNL/FMR Capital Growth Fund (c) 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.65 0.65 0.60 0.55
JNL/JPMorgan International Value Fund 0.775 0.75 0.75 0.75 0.70 0.70 0.70 0.65 0.65 0.65 0.65
JNL/Lazard Mid Cap Value Fund 0.775 0.775 0.775 0.725 0.725 0.725 0.70 0.70 0.70 0.70 0.70
JNL/Lazard Small Cap Value Fund 0.85 0.80 0.80 0.775 0.775 0.775 0.725 0.725 0.725 0.725 0.725
JNL/Mellon Capital Management Bond Index Fund 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.25 0.25 0.25
JNL/Mellon Capital Management Enhanced
S&P 500 Stock Index Fund (d) 0.50 0.45 0.45 0.45 0.45 0.45 0.45 0.45 0.45 0.45 0.45
JNL/Mellon Capital Management
International Index Fund 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.25 0.25 0.25
JNL/Mellon Capital Management S&P 400 MidCap
Index Fund 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.24 0.24 0.24
JNL/Mellon Capital Management S&P 500 Index
Fund 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.24 0.24 0.24
JNL/Mellon Capital Management Small Cap Index
Fund 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.29 0.24 0.24 0.24
JNL/Oppenheimer Global Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 0.60 0.60 0.60 0.60 0.60
JNL/Oppenheimer Growth Fund 0.70 0.70 0.70 0.70 0.70 0.70 0.60 0.60 0.60 0.60 0.60
JNL/PIMCO Total Return Bond Fund 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50
JNL/Putnam Equity Fund (e) 0.675 0.675 0.675 0.60 0.60 0.60 0.575 0.575 0.575 0.575 0.575
JNL/Putnam International Equity Fund (f) 0.80 0.75 0.75 0.75 0.75 0.75 0.75 0.75 0.70 0.70 0.70
JNL/Putnam Midcap Growth Fund 0.75 0.75 0.75 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70
JNL/Putnam Value Equity Fund (e) 0.675 0.675 0.675 0.60 0.60 0.60 0.575 0.575 0.575 0.575 0.575
JNL/S&P Funds 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.13 0.08 0.08 0.08
JNL/Salomon Brothers High Yield Bond Fund 0.55 0.50 0.50 0.475 0.475 0.475 0.45 0.45 0.425 0.425 0.425
JNL/Salomon Brothers Strategic Bond Fund 0.65 0.65 0.65 0.60 0.60 0.60 0.60 0.60 0.55 0.55 0.55
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 0.50 0.50 0.50 0.45 0.45 0.45 0.40 0.40 0.35 0.35 0.35
JNL/Select Balanced Fund 0.55 0.50 0.50 0.475 0.475 0.475 0.45 0.45 0.425 0.425 0.425
JNL/Select Global Growth Fund (g) 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 0.65 0.60 0.60
JNL/Select Large Cap Growth Fund (c) 0.70 0.70 0.70 0.65 0.65 0.65 0.65 0.65 0.60 0.55 0.55
JNL/Select Money Market Fund 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.30 0.25 0.25 0.25
JNL/Select Value Fund 0.55 0.55 0.55 0.55 0.55 0.55 0.50 0.50 0.45 0.45 0.45
JNL/T.Rowe Price Established Growth Fund 0.65 0.65 0.65 0.60 0.60 0.60 0.60 0.60 0.60 0.60 0.60
JNL/T.Rowe Price Mid-Cap Growth Fund 0.75 0.75 0.75 0.70 0.70 0.70 0.70 0.70 0.70 0.70 0.70
JNL/T.Rowe Price Value Fund 0.70 0.70 0.70 0.70 0.70 0.70 0.65 0.65 0.65 0.65 0.65
(a) Prior to May 1, 2004, the fees were 0.80% on assets up to $300 million and
0.75% over $300 million.
(b) Prior to May 1, 2004, the fees were 0.75% on assets up to $250 million,
0.70% between $250 and $750, and 0.65% between $750 million and $1 billion
and 0.60% over $1.5 billion.
(c) Prior to May 1, 2004, the fees were 0.75% on assets up to $150 million,
0.70% between $150 million and $250 million, 0.65% between $250 million and
$750 million, 0.60% between $750 and $1.5 billion and 0.55% over $1.5
billion.
(d) Prior to May 1, 2004, the fees were 0.57% on assets up to $25 million and
0.52% over $25 million.
(e) Prior to May 1, 2004, the fees were 0.70% on assets up to $150 million,
0.65% between $150 million and $300 million and 0.60% over $300 million.
(f) Prior to May 1, 2004, the fees were 0.90% on assets up to $50 million,
0.85% between $50 million and $150 million, 0.80% between $150 million and
$300 million, 0.75% between $300 million and $$500 million and 0.70% over
$500 million.
(g) Prior to May 1, 2004, the fees were 0.80% on assets up to $150 million,
0.75% between $150 million and $300 million, and 0.70% over $300 million.
(h) Prior to July 1, 2004, the fees were 0.775% on asssets up to $300 million,
0.75% between $300 million and $500 million and 0.70% over $500 million.
Administrative Fee - The JNL/S&P Funds pay an annual Administrative Fee of 0.05%
of the average daily net assets of each Fund. The JNL/JPMorgan International
Value Fund, the JNL/Mellon Capital Management International Index Fund, the
JNL/Oppenheimer Global Growth Fund, the JNL/Putnam International Equity Fund,
and the JNL/Select Global Growth Fund pay JNAM L.L.C. an annual Administration
Fee of 0.15% of the average daily net assets of the Funds. All other Funds pay
JNAM L.L.C. an annual Administration Fee of 0.10% of the average daily net
assets of the Funds. In return for the Administrative Fee, JNAM L.L.C. provides
or procures all necessary administrative functions and services for the
operation of the Funds. In addition, JNAM L.L.C., at its own expense, arranges
for legal, audit, fund accounting, custody, printing and mailing, and all other
services necessary for the operation of each Fund. Each Fund is responsible for
trading expenses including brokerage commissions, interest and taxes, other
non-operating expenses, the fees and expenses of the disinterested Trustees and
independent legal counsel to the disinterested Trustees and a majority of the
cost associated with the Chief Compliance Officer.
Transfer Agency Services - The Trust has an agreement with JNAM L.L.C. whereby
JNAM L.L.C. provides transfer agency services for the funds.
Brokerage fees - During the year ended December 31, 2004, JNL/Alger Growth Fund
and JNL/FMR Capital Growth Fund paid $732 and $15, in thousands respectively, to
affiliates of the Fund for brokerage fees on the execution of purchases and
sales of portfolio investments.
12b-1 Service Fee - Effective December 15, 2003, certain Funds have adopted a
Distribution Plan under the provisions of Rule 12b-1 for the purpose of
reimbursement of certain distribution and related service expenses from the sale
and distribution of the Trust's Class A shares (through the sale of variable
insurance products funded by the Trust). Jackson National Life Distributors,
Inc. ("JNLD") is the principal underwriter of the Funds, with responsibility for
promoting sales of their shares. JNLD also is the principal underwriter of the
variable insurance products issued by Jackson National and its subsidiaries.
JNLD is a wholly-owned subsidiary of Jackson National. The maximum 12b-1 fee
allowed shall be 0.20% as a percentage of the average daily net assets
attributable to the Class A shares. Amounts charged pursuant to the Distribution
Plan are reflected in the Statement of Operations as "12b-1 service fees (Class
A)".
Distribution (12b-1) Fee - Certain Funds have adopted a Brokerage Enhancement
Plan (the "Plan") under the provisions of Rule 12b-1 for the purpose of
utilizing the Trust's brokerage commissions to the extent available, to promote
the sale and distribution of the Trust's shares by JNLD (through the sale of
variable insurance products funded by the Trust). Commissions are reflected in
the Statements of Operations as "Distribution (12b-1) fee" and a corresponding
reduction "Fees paid indirectly". Net expenses of the Fund are unaffected by
participating in the Plan. Effective December 13, 2004, the Funds revised the
Plan thereby suspending the use of the Trust's brokerage commissions to promote
the sale and distribution of the Trust's shares by JNLD.
Deferred Compensation Plan - The Funds have adopted a Deferred Compensation Plan
whereby non-interested Trustees may defer the receipt of their compensation.
Deferred amounts are treated as though equivalent dollar amounts had been
invested in shares of the designated Fund(s). The Fund's liability for these
amounts is adjusted for market value changes and remains in the Fund until
distributed under the terms of the Deferred Compensation Plan.
Investments in affiliates - During the year ended December 31, 2004, certain
funds invested in a money market fund for temporary purposes, which were managed
by an affiliate to the subadviser. The JNL/S&P Funds invested solely in other
affiliated funds of the Trust. The total market value and cost of such
affiliated investments is disclosed separately in the Statement of Assets and
Liabilities, and the associated income is disclosed separately in the Statement
of Operations.
NOTE 4. PURCHASES AND SALES OF SECURITIES
Information with respect to purchases and proceeds from sales of long-term
securities including dollar rolls for the year ended December 31, 2004, is as
follows (in thousands):
Investment Securities U.S. Government Obligations
Purchases Sales Purchases Sales
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
JNL/AIM Large Cap Growth Fund $ 251,899 $ 115,251 $ - $ -
JNL/AIM Small Cap Growth Fund 39,853 39,171 - -
JNL/Alger Growth Fund 537,280 505,934 - -
JNL/Alliance Capital Growth Fund 65,543 151,046 - -
JNL/Eagle Core Equity Fund 359,734 277,992 - -
JNL/Eagle SmallCap Equity Fund 108,930 69,448 - -
JNL/FMR Balanced Fund 108,413 136,482 49,594 34,252
JNL/FMR Capital Growth Fund 383,915 355,620 - -
JNL/JPMorgan International Value Fund 85,828 42,146 868 868
JNL/Lazard Mid Cap Value Fund 199,483 161,955 - -
JNL/Lazard Small Cap Value Fund 211,415 176,001 - -
JNL/Mellon Capital Management Bond Index Fund 158,437 90,824 131,221 154,386
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund 173,696 98,494 - -
JNL/Mellon Capital Management International Index Fund 165,949 5,255 - -
JNL/Mellon Capital Management S&P 400 MidCap Index Fund 109,946 18,017 - -
JNL/Mellon Capital Management S&P 500 Index Fund 158,477 17,573 - -
JNL/Mellon Capital Management Small Cap Index Fund 103,438 20,209 - -
JNL/Oppenheimer Global Growth Fund 115,718 26,887 - -
JNL/Oppenheimer Growth Fund 32,921 40,014 - -
JNL/PIMCO Total Return Bond Fund 643,567 499,052 166,439 138,575
JNL/Putnam Equity Fund 137,873 166,280 - -
JNL/Putnam International Equity Fund 67,919 81,166 - -
JNL/Putnam Midcap Growth Fund 33,451 33,401 - -
JNL/Putnam Value Equity Fund 108,970 214,272 - -
JNL/S&P Managed Aggressive Growth Fund 608,499 185,894 - -
JNL/S&P Managed Conservative Fund 14,934 1,097 - -
JNL/S&P Managed Growth Fund 676,397 374,001 - -
JNL/S&P Managed Moderate Fund 19,287 42 - -
JNL/S&P Managed Moderate Growth Fund 368,273 193,989 - -
JNL/Salomon Brothers High Yield Bond Fund 338,185 110,502 - -
JNL/Salomon Brothers Strategic Bond Fund 884,108 873,915 64,026 47,617
JNL/Salomon Brothers U.S. Government & Quality Bond Fund 1,310,147 1,369,911 59,551 65,138
JNL/Select Balanced Fund 274,651 258,943 180,076 137,663
JNL/Select Global Growth Fund 563,358 558,722 - -
JNL/Select Large Cap Growth Fund 404,137 395,619 - -
JNL/Select Value Fund 248,601 167,921 - -
JNL/T.Rowe Price Established Growth Fund 280,505 193,339 - -
JNL/T.Rowe Price Mid-Cap Growth Fund 231,701 149,742 - -
JNL/T.Rowe Price Value Fund 186,740 170,788 - -
NOTE 5. FEDERAL INCOME TAX MATTERS
At December 31, 2004, the following Funds had accumulated net realized capital
loss carryovers, in thousands, for U.S. federal income tax purposes, which may
be used to offset future, realized capital gains (in thousands). It is the
intent of the Board of Trustees to not distribute any realized capital gains
until the accumulated net realized capital loss carryovers have been offset or
have expired.
Year(s) of Year(s) of
Amount Expiration Amount Expiration
- ------------------------------------------------------------- -------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 4,597 2010-2012 JNL/Putnam International Equity Fund $ 30,209 2009-2011
JNL/AIM Small Cap Growth Fund 884 2010-2011 JNL/Putnam Midcap Growth Fund 20,871 2009-2011
JNL/Alger Growth Fund 111,621 2009-2011 JNL/Putnam Value Equity Fund 41,085 2010-2011
JNL/Alliance Capital Growth Fund 62,755 2009-2011 JNL/Salomon Brothers High Yield Bond Fund 51,880 2007-2010
JNL/Eagle Core Equity Fund 28,737 2009-2011 JNL/Select Global Growth Fund 162,220 2009-2011
JNL/Eagle SmallCap Equity Fund 12,761 2010-2011 JNL/Select Large Cap Growth Fund 308,609 2009-2011
JNL/FMR Balanced Fund 2,357 2010-2011 JNL/Select Money Market Fund 2 2010-2012
JNL/FMR Capital Growth Fund 336,978 2009-2011 JNL/T.Rowe Price Established Growth Fund 70,286 2009-2011
JNL/Oppenheimer Global Growth Fund 3,744 2010-2011 JNL/S&P Managed Aggressive Growth Fund 46,840 2009-2012
JNL/Oppenheimer Growth Fund 1,880 2010-2011 JNL/S&P Managed Growth Fund 2,177 2009-2012
JNL/Putnam Equity Fund 123,916 2009-2011 JNL/S&P Managed Moderate Growth Fund 339 2009-2012
The following represents capital and/or currency losses (in thousands) realized
after October 31, 2004, which were deferred for tax purposes to the first of the
following fiscal year.
Amount
- ----------------------------------------------------------------------
- ----------------------------------------------------------------------
JNL/Eagle Core Equity Fund $ 30
JNL/FMR Capital Growth Fund 11
JNL/T.Rowe Price Established Growth Fund 48
JNL/S&P Managed Aggressive Growth Fund 8,515
JNL/S&P Managed Moderate Growth Fund 8,178
Permanent differences between book and tax basis reporting for the 2004 fiscal
year have been identified and appropriately reclassified as indicated below (in
thousands). To the extent there are differences between book tax-basis and
federal tax-basis which are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis treatment;
temporary differences do not require reclassification. Permanent differences may
include but are not limited to: excise taxes paid, expired capital loss
carryforwards, foreign currency reclassifications, market discount or paydown
reclassifications, reclassifications on the sale of PFIC or REIT securities, net
operating losses and distribution adjustments. These reclassifications have no
impact on net assets.
Net Increase (Decrease)
-------------------------------------------------------
-------------------------------------------------------
Accumulated
Undistributed Accumulated
Net Investment Net Realized
Income Gain/Loss Paid in Capital
-------------- -------------- --------------
-------------- -------------- --------------
JNL/AIM Small Cap Growth Fund $ 413 $ - $ (413)
JNL/Eagle Core Equity Fund (29) 29 -
JNL/Eagle SmallCap Equity Fund 1,024 - (1,024)
JNL/FMR Balanced Fund (23) 23 -
JNL/FMR Capital Growth Fund (23) 23 -
JNL/JPMorgan International Value Fund 297 (297) -
JNL/Lazard Mid Cap Value Fund (130) 130 -
JNL/Lazard Small Cap Value Fund 363 (363) -
JNL/Mellon Capital Management Bond Index Fund (297) 297 -
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund (5) 5 -
JNL/Mellon Capital Management International Index Fund 211 (211) -
JNL/Mellon Capital Management S&P 400 MidCap Index Fund (3) 3 -
JNL/Mellon Capital Management S&P 500 Index Fund (9) 9 -
JNL/Mellon Capital Management Small Cap Index Fund (23) 23 -
JNL/Oppenheimer Global Growth Fund (422) 422 -
JNL/PIMCO Total Return Bond Fund (449) 449 -
JNL/Putnam Equity Fund (8) 8 -
JNL/Putnam International Equity Fund 458 (458) -
JNL/Putnam Midcap Growth Fund 188 - (188)
JNL/Putnam Value Equity Fund (5) 5 -
JNL/S&P Managed Aggressive Growth Fund 2,332 (2,332) -
JNL/S&P Managed Conservative Fund 14 (14) -
JNL/S&P Managed Growth Fund 3,443 (3,443) -
JNL/S&P Managed Moderate Fund 51 (51) -
JNL/S&P Managed Moderate Growth Fund 1,590 (1,590) -
JNL/Salomon Brothers Strategic Bond Fund 11 (11) -
JNL/Salomon Brothers U.S. Government & Quality Bond Fund (219) 219 -
JNL/Select Balanced Fund (324) 324 -
JNL/Select Global Growth Fund (134) 134 -
JNL/Select Large Cap Growth Fund 244 (24) (220)
JNL/T.Rowe Price Established Growth Fund (308) 308 -
JNL/T.Rowe Price Mid-Cap Growth Fund 2,546 (2,546) -
JNL/T.Rowe Price Value Fund (50) 50 -
As of December 31 2004, the components of distributable earnings on a tax-basis
and the federal tax cost of investments are listed in the following table (in
thousands). Net investment income, net realized gains, and unrealized
appreciation may differ for financial statement and tax purposes primarily
because of the recognition of certain foreign currency gains as ordinary income
for tax purposes; the realization for tax purposes of unrealized gains on
certain forward foreign currency or futures contracts and unrealized gains or
losses on investments in passive foreign investment companies; the difference in
accounting for investments in Real Estate Investment Trusts; and the tax
deferral of losses on wash sale transactions.
Gross Gross Net Unrealized
Cost of Unrealized Unrealized Appreciation/
Investments Appreciation Depreciation Depreciation
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 174,600 $ 23,722 $ (1,573) $ 22,149
JNL/AIM Small Cap Growth Fund 41,976 8,433 (623) 7,810
JNL/Alger Growth Fund 298,786 34,885 (7,777) 27,108
JNL/Alliance Capital Growth Fund 42,313 5,649 (1,617) 4,032
JNL/Eagle Core Equity Fund 332,083 39,135 (8,006) 31,129
JNL/Eagle SmallCap Equity Fund 147,649 46,765 (3,850) 42,915
JNL/FMR Balanced Fund 131,263 9,633 (1,869) 7,764
JNL/FMR Capital Growth Fund 215,852 25,724 (5,584) 20,140
JNL/JPMorgan International Value Fund 74,157 10,782 (369) 10,413
JNL/Lazard Mid Cap Value Fund 209,344 30,372 (2,399) 27,973
JNL/Lazard Small Cap Value Fund 205,797 31,302 (4,733) 26,569
JNL/Mellon Capital Management Bond Index Fund 178,587 1,119 (507) 612
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 177,698 18,588 (5,253) 13,335
JNL/Mellon Capital Management International Index Fund 264,774 54,471 (3,626) 50,845
JNL/Mellon Capital Management S&P 400 MidCap Index Fund 189,455 33,983 (5,445) 28,538
JNL/Mellon Capital Management S&P 500 Index Fund 326,700 52,427 (10,235) 42,192
JNL/Mellon Capital Management Small Cap Index Fund 165,648 34,139 (7,304) 26,835
JNL/Oppenheimer Global Growth Fund 216,409 45,680 (3,968) 41,712
JNL/Oppenheimer Growth Fund 25,226 2,314 (533) 1,781
JNL/PIMCO Total Return Bond Fund 501,164 5,051 (608) 4,443
JNL/Putnam Equity Fund 145,473 21,071 (3,726) 17,345
JNL/Putnam International Equity Fund 84,693 17,751 (1,417) 16,334
JNL/Putnam Midcap Growth Fund 32,723 5,744 (264) 5,480
JNL/Putnam Value Equity Fund 200,433 30,941 (6,419) 24,522
JNL/S&P Managed Aggressive Growth Fund 675,002 81,618 (85,820) (4,202)
JNL/S&P Managed Conservative Growth Fund 13,857 168 (189) (21)
JNL/S&P Managed Growth Fund 944,534 105,920 (48,817) 57,103
JNL/S&P Managed Moderate Fund 19,247 335 (238) 97
JNL/S&P Managed Moderate Growth Fund 578,051 57,715 (17,216) 40,499
JNL/Salomon Brothers High Yield Bond Fund 334,664 15,993 (2,172) 13,821
JNL/Salomon Brothers Strategic Bond Fund 327,672 10,226 (2,657) 7,569
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 285,468 3,054 (175) 2,879
JNL/Select Balanced Fund 394,817 26,938 (3,289) 23,649
JNL/Select Global Growth Fund 199,874 28,703 (1,165) 27,538
JNL/Select Large Cap Growth Fund 284,299 34,259 (9,218) 25,041
JNL/Select Money Market Fund 237,686 - - -
JNL/Select Value Fund 145,764 12,873 (1,442) 11,431
JNL/T.Rowe Price Established Growth Fund 560,504 99,456 (18,978) 80,478
JNL/T.Rowe Price Mid-Cap Growth Fund 449,774 144,050 (13,506) 130,544
JNL/T.Rowe Price Value Fund 444,856 85,986 (10,978) 75,008
Tax Components of
Distributable Earnings
------------------------------------
------------------------------------
Undistributed Accumulated
Net Investment Net Realized
Income Gain/Loss
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 116 $ -
JNL/AIM Small Cap Growth Fund - -
JNL/Alger Growth Fund 252 -
JNL/Alliance Capital Growth Fund 14 -
JNL/Eagle Core Equity Fund 18 -
JNL/Eagle SmallCap Equity Fund - -
JNL/FMR Balanced Fund 10 -
JNL/FMR Capital Growth Fund 600 -
JNL/JPMorgan International Value Fund 240 1,350
JNL/Lazard Mid Cap Value Fund 9 5,310
JNL/Lazard Small Cap Value Fund - 5,112
JNL/Mellon Capital Management Bond Index Fund 3,554 1,022
JNL/Mellon Capital Management Enhanced S&P 500
Stock Index Fund 1,821 4,024
JNL/Mellon Capital Management International Index Fund 4,000 1,675
JNL/Mellon Capital Management S&P 400 MidCap Index Fund 833 4,295
JNL/Mellon Capital Management S&P 500 Index Fund 5 2,454
JNL/Mellon Capital Management Small Cap Index Fund 921 5,337
JNL/Oppenheimer Global Growth Fund 598 -
JNL/Oppenheimer Growth Fund 33 -
JNL/PIMCO Total Return Bond Fund 5,388 10,156
JNL/Putnam Equity Fund 1,263 -
JNL/Putnam International Equity Fund 520 -
JNL/Putnam Midcap Growth Fund - -
JNL/Putnam Value Equity Fund 5 -
JNL/S&P Managed Aggressive Growth Fund 2,889 -
JNL/S&P Managed Conservative Growth Fund 198 71
JNL/S&P Managed Growth Fund 3,805 13,888
JNL/S&P Managed Moderate Fund 256 112
JNL/S&P Managed Moderate Growth Fund 1,952 2,003
JNL/Salomon Brothers High Yield Bond Fund 1 2,725
JNL/Salomon Brothers Strategic Bond Fund 51 2,144
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 262 1,293
JNL/Select Balanced Fund 7,678 38,911
JNL/Select Global Growth Fund 972 -
JNL/Select Large Cap Growth Fund - -
JNL/Select Money Market Fund - -
JNL/Select Value Fund 1,880 14,925
JNL/T.Rowe Price Established Growth Fund 643 -
JNL/T.Rowe Price Mid-Cap Growth Fund - 4,178
JNL/T.Rowe Price Value Fund 4,185 16,245
The tax character of distributions paid during the period ended December 31,
2004, were as follows (in thousands):
Ordinary Long-term
Income Capital Gain
-------------------------------------
JNL/Alger Growth Fund $ 28 $ -
JNL/Alliance Capital Growth Fund 110 -
JNL/Eagle Core Equity Fund 2,505 -
JNL/FMR Balanced Fund 1,265 -
JNL/JPMorgan International Value Fund 713 5
JNL/Lazard Mid Cap Value Fund 13,855 9,465
JNL/Lazard Small Cap Value Fund 7,300 10,754
JNL/Mellon Capital Management Bond Index Fund 333 2
JNL/Mellon Capital Management Enhanced
S&P 500 Stock Index Fund 485 -
JNL/Mellon Capital Management
International Index Fund 245 -
JNL/Mellon Capital Management S&P 400
MidCap Index Fund 10 -
JNL/Mellon Capital Management S&P 500 Index Fund 4,356 1,275
JNL/Mellon Capital Management Small Cap Index Fund 6 333
JNL/Oppenheimer Global Growth Fund 288 -
Ordinary Long-term
Income Capital Gain
-------------------------------------
JNL/PIMCO Total Return Bond Fund $ 7,429 $ 2,747
JNL/Putnam Equity Fund 860 -
JNL/Putnam International Equity Fund 1,170 -
JNL/Putnam Value Equity Fund 2,931 -
JNL/S&P Managed Aggressive Growth Fund 698 -
JNL/S&P Managed Growth Fund 5,127 3,197
JNL/S&P Managed Moderate Growth Fund 5,828 8,768
JNL/Salomon Brothers High Yield Bond Fund 5,803 67
JNL/Salomon Brothers Strategic Bond Fund 10,250 3,507
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 9,399 555
JNL/Select Balanced Fund 375 2,289
JNL/Select Money Market Fund 1,600 -
JNL/Select Value Fund 1,045 423
JNL/T.Rowe Price Established Growth Fund 2,214 -
JNL/T.Rowe Price Mid-Cap Growth Fund 1,741 25,887
JNL/T.Rowe Price Value Fund 2,908 -
The tax character of distributions paid during the period ended December 31,
2003, were as follows (in thousands):
Ordinary Long-term
Income Capital Gain
------------------------------------
JNL/Eagle Core Equity Fund $ 1,494 $ -
JNL/FMR Balanced Fund 1,480 -
JNL/Janus Growth & Income Fund 75 -
JNL/JPMorgan International Value Fund 346 -
JNL/Lazard Mid Cap Value Fund 266 -
JNL/Mellon Capital Management Bond Index Fund 2,128 209
JNL/Mellon Capital Management Enhanced
S&P 500 Stock Index Fund 236 -
JNL/Mellon Capital Management
International Index Fund 1,094 -
JNL/Mellon Capital Management S&P 400
MidCap Index Fund 230 -
JNL/Mellon Capital Management S&P 500 Index Fund 1,511 588
JNL/Mellon Capital Management Small Cap Index Fund 269 498
JNL/PIMCO Total Return Bond Fund 8,768 1,422
JNL/PPM America High Yield 15,485 -
JNL/Putnam Equity Fund 486 -
JNL/Putnam International Equity Fund 1,395 -
JNL/Putnam Value Equity Fund 3,168 -
JNL/S&P Aggressive Growth Fund 32 -
JNL/S&P Aggressive Growth Fund II 35 -
JNL/S&P Conservative Growth Fund 158 -
JNL/S&P Conservative Growth Fund II 259 -
Ordinary Long-term
Income Capital Gain
------------------------------------
JNL/S&P Core Index 100 Fund $ 170 $ -
JNL/S&P Core Index 50 Fund 3 -
JNL/S&P Core Index 75 Fund 40 -
JNL/S&P Equity Aggressive Growth Fund I 2 -
JNL/S&P Equity Aggressive Growth Fund II 1 -
JNL/S&P Equity Growth Fund I 20 -
JNL/S&P Equity Growth Fund II 8 -
JNL/S&P Moderate Growth Fund 189 -
JNL/S&P Moderate Growth Fund II 243 -
JNL/S&P Managed Aggressive Growth Fund 1,956 -
JNL/S&P Managed Growth Fund 9,969 -
JNL/S&P Managed Moderate Growth Fund 8,874 -
JNL/S&P Salomon Brothers Balanced Fund 359 -
JNL/Salomon Brothers High Yield Bond Fund 1,671 -
JNL/Salomon Brothers Strategic Bond Fund 9,699 1,122
JNL/Salomon Brothers U.S. Government &
Quality Bond Fund 9,416 2,639
JNL/Select Balanced Fund 7,530 401
JNL/Select Money Market Fund 924 -
JNL/Select Value Fund 303 -
JNL/T.Rowe Price Established Growth Fund 118 -
JNL/T.Rowe Price Mid-Cap Growth Fund - 1,870
JNL/T.Rowe Price Value Fund 2,064 -
NOTE 6. SUBSEQUENT EVENT
On February 9, 2005, JNAM L.L.C. recommended and the Board of Trustees approved
the combination of the following Funds of the Trust: JNL/T.Rowe Price
Established Growth Fund (Acquiring Fund) and the JNL/Alliance Capital Growth
Fund (Acquired Fund), effective May 2, 2005.
NOTE 7. FUND ACQUISITIONS
On April 30, 2004, the following acquisitions were accomplished by a tax-free or
taxable exchange of shares (in thousands) pursuant to a plan of reorganization
approved by the Board of Trustees on January 29, 2004.
Shares of
Acquiring
Fund Issued Merger
Acquiring Fund in Exchange Tax Status
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund 1,111 Taxable
JNL/Eagle Core Equity Fund 973 Taxable
JNL/S&P Aggressive Growth Fund I 1,191 Tax-free
JNL/S&P Aggressive Growth Fund I 361 Tax-free
JNL/S&P Conservative Growth Fund I 1,418 Tax-free
JNL/S&P Conservative Growth Fund I 1,374 Tax-free
JNL/S&P Equity Aggressive Growth Fund I 195 Tax-free
JNL/S&P Equity Growth Fund I 734 Tax-free
JNL/S&P Moderate Growth Fund I 2,675 Tax-free
JNL/S&P Moderate Growth Fund I 1,736 Tax-free
JNL/S&P Very Aggressive Growth Fund I 214 Tax-free
Of acquired fund on acquisition date:
-------------------------------------------------------
-------------------------------------------------------
Accumulated Unrealized
Shares Realized Appreciation/
Acquired Fund Outstanding Gain/(Loss) (Depreciation)
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
JNL/AIM Premier Equity II Fund 1,249 $ - $ -
JNL/Janus Growth & Income Fund 1,946 - -
JNL/S&P Aggressive Growth Fund 1,728 (8,075) (44)
JNL/S&P Aggressive Growth Fund II 443 (2,383) 269
JNL/S&P Conservative Growth Fund 1,774 (2,468) 682
JNL/S&P Conservative Growth Fund II 1,631 (2,859) 950
JNL/S&P Equity Aggressive Growth Fund II 208 (1,515) 26
JNL/S&P Equity Growth Fund II 844 (4,805) 304
JNL/S&P Moderate Growth Fund 3,655 (8,633) 1,664
JNL/S&P Moderate Growth Fund II 2,041 (5,061) 1,374
JNL/S&P Very Aggressive Growth Fund II 235 (1,452) (115)
The aggregate net assets (in thousands) of the acquiring and acquired funds
immediately before the acquisition were as follows:
Acquiring Fund Net Assets Acquired Fund Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
JNL/AIM Large Cap Growth Fund $ 122,190 JNL/AIM Premier Equity II Fund $ 11,871
JNL/Eagle Core Equity Fund 278,588 JNL/Janus Growth & Income Fund 13,508
JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund 12,645
JNL/S&P Aggressive Growth Fund I 187,213 JNL/S&P Aggressive Growth Fund II 3,833
JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund 15,446
JNL/S&P Conservative Growth Fund I 459,910 JNL/S&P Conservative Growth Fund II 14,959
JNL/S&P Equity Aggressive Growth Fund I 55,884 JNL/S&P Equity Aggressive Growth Fund II 1,869
JNL/S&P Equity Growth Fund I 199,219 JNL/S&P Equity Growth Fund II 7,117
JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund 29,690
JNL/S&P Moderate Growth Fund I 716,186 JNL/S&P Moderate Growth Fund II 19,273
JNL/S&P Very Aggressive Growth Fund I 65,959 JNL/S&P Very Aggressive Growth Fund II 2,146
On October 1, 2004, the following acquisitions were accomplished by a tax-free
or taxable exchange of shares (in thousands) pursuant to a plan of
reorganization approved by the Board of Trustees on May 13, 2004.
Shares of
Acquiring
Fund Issued Merger
Acquiring Fund in Exchange Tax Status
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
JNL/S&P Managed Aggressive Growth Fund 1,130 Tax-free
JNL/S&P Managed Aggressive Growth Fund 1,917 Tax-free
JNL/S&P Managed Aggressive Growth Fund 5,727 Tax-free
JNL/S&P Managed Aggressive Growth Fund 20,881 Tax-free
JNL/S&P Managed Aggressive Growth Fund 6,601 Tax-free
JNL/S&P Managed Growth Fund 4,024 Tax-free
JNL/Salomon Brothers High Yield Bond Fund 34,101 Tax-free
JNL/Select Balanced Fund 786 Taxable
Of acquired fund on acquisition date:
---------------------------------------------------------
---------------------------------------------------------
Accumulated Unrealized
Shares Realized Appreciation/
Acquired Fund Outstanding Gain/(Loss) (Depreciation)
- ----------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------
JNL/S&P Core Index 50 Fund 1,216 $ (198)$ 757
JNL/S&P Core Index 75 Fund 1,999 (143) 1,353
JNL/S&P Equity Aggressive Growth Fund I 6,331 (19,481) 4,888
JNL/S&P Equity Growth Fund I 22,921 (66,882) 16,780
JNL/S&P Very Aggressive Growth Fund I 6,992 (30,496) 5,724
JNL/S&P Core Index 100 Fund 4,332 (291) 4,789
JNL/PPM America High Yield Bond Fund 33,317 (52,034) 14,607
JNL/Salomon Brothers Balanced Fund 1,249 - -
The aggregate net assets (in thousands) of the acquiring and acquired funds
immediately before the acquisition were as follows:
Acquiring Fund Net Assets Acquired Fund Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
JNL/S&P Managed Aggressive Growth Fund $ 220,203 JNL/S&P Core Index 50 Fund $ 12,319
JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Core Index 75 Fund 20,891
JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Equity Aggressive Growth Fund I 62,425
JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Equity Growth Fund I 227,657
JNL/S&P Managed Aggressive Growth Fund 220,203 JNL/S&P Very Aggressive Growth Fund I 71,933
JNL/S&P Managed Growth Fund 865,924 JNL/S&P Core Index 100 Fund 45,844
JNL/Salomon Brothers High Yield Bond Fund 12,876 JNL/PPM America High Yield Bond Fund 287,133
JNL/Select Balanced Fund 341,720 JNL/Salomon Brothers Balanced Fund 12,867
Disclosure of Fund Expenses (Unaudited)
All Mutual Funds are affected by ongoing costs, which include (among others)
costs for portfolio management, administrative services, and the operating
expenses.
Operating expenses such as these are deducted from the Fund's gross income and
directly reduce the final investment return. These expenses are expressed as a
percentage of the fund's average net assets; this percentage is known as the
Fund's expense ratio.
The examples below use the expense ratio and are intended to help the investor
understand the ongoing costs (in dollars) of investing in a Fund and to compare
these costs with the ongoing costs of investing in other Mutual Funds. The
examples are based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period.
Actual Fund Return. This section provides information about the actual account
values and actual expenses incurred by the Fund. Use the information in this
section, together with the amount invested, to estimate the expenses the
shareholder paid over the period. Simply divide the account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first section under the heading entitled "Expenses
paid During Period" to estimate the expenses paid during this period.
Hypothetical 5% Return. The information in this section can be used to compare
each Fund's costs with those of other mutual funds. It assumes that the Fund had
an annual 5% return before expenses during the year, but that the expense ratio
for the period is unchanged. This example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual funds to make
the 5% calculation.
Actual Fund Return
----------------------------------------------------------------
----------------------------------------------------------------
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
6/30/2004 12/31/2004 Ratios Period
---------------- --------------- ------------ ---------------
---------------- --------------- ------------ ---------------
JNL/AIM Large Cap Growth Fund
Class A $ 1,000.00 $ 1,040.10 1.06 % $ 5.44
Class B 1,000.00 1,041.90 0.86 4.41
JNL/AIM Small Cap Growth Fund
Class A 1,000.00 1,033.10 1.16 5.93
Class B 1,000.00 1,033.10 0.97 4.96
JNL/Alger Growth Fund
Class A 1,000.00 1,019.80 1.01 5.13
Class B 1,000.00 1,020.80 0.80 4.06
JNL/Alliance Capital Growth Fund
Class A 1,000.00 1,029.90 0.89 4.54
Class B 1,000.00 1,030.30 0.75 3.83
JNL/Eagle Core Equity Fund
Class A 1,000.00 1,063.20 0.96 4.98
Class B 1,000.00 1,064.40 0.77 4.00
JNL/Eagle SmallCap Equity Fund
Class A 1,000.00 1,102.70 1.06 5.60
Class B 1,000.00 1,104.20 0.85 4.50
JNL/FMR Balanced Fund
Class A 1,000.00 1,067.70 1.01 5.25
Class B 1,000.00 1,069.70 0.77 4.01
JNL/FMR Capital Growth Fund
Class A 1,000.00 1,110.60 1.01 5.36
Class B 1,000.00 1,111.90 0.79 4.19
JNL/JPMorgan International Value Fund -
Class A 1,000.00 1,161.60 1.13 6.14
Class B 1,000.00 1,162.70 0.95 5.16
JNL/Lazard Mid Cap Value Fund
Class A 1,000.00 1,121.10 1.07 5.70
Class B 1,000.00 1,122.90 0.88 4.70
JNL/Lazard Small Cap Value Fund
Class A 1,000.00 1,088.70 1.12 5.88
Class B 1,000.00 1,089.70 0.90 4.73
JNL/Mellon Capital Management Bond Index Fund
Class A 1,000.00 1,038.40 0.61 3.13
Class B 1,000.00 1,038.60 0.41 2.10
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
Class A 1,000.00 1,072.10 0.77 4.01
Class B 1,000.00 1,068.50 0.57 2.96
JNL/Mellon Capital Management International Index Fund
Class A 1,000.00 1,145.90 0.66 3.56
Class B 1,000.00 1,147.00 0.46 2.48
JNL/Mellon Capital Management S&P 400 MidCap Index Fund
Class A 1,000.00 1,094.00 0.60 3.16
Class B 1,000.00 1,095.80 0.40 2.11
JNL/Mellon Capital Mangement S&P 500 Index Fund
Class A 1,000.00 1,068.10 0.60 3.12
Class B 1,000.00 1,069.50 0.40 2.08
JNL/Mellon Capital Management Small Cap Index Fund
Class A $ 1,000.00 $ 1,104.80 0.60 % $ 3.17
Class B 1,000.00 1,105.90 0.40 2.12
JNL/Oppenheimer Global Growth Fund
Class A 1,000.00 1,145.40 1.06 5.72
Class B 1,000.00 1,146.00 0.86 4.64
JNL/Oppenheimer Growth Fund
Class A 1,000.00 1,017.70 1.01 5.12
Class B 1,000.00 1,018.90 0.85 4.31
JNL/PIMCO Total Return Bond Fund
Class A 1,000.00 1,043.60 0.81 4.16
Class B 1,000.00 1,045.50 0.61 3.14
JNL/Putnam Equity Fund
Class A 1,000.00 1,091.50 0.98 5.15
Class B 1,000.00 1,092.40 0.78 4.10
JNL/Putnam International Equity Fund
Class A 1,000.00 1,149.00 1.14 6.16
Class B 1,000.00 1,149.30 0.90 4.86
JNL/Putnam Midcap Growth Fund
Class A 1,000.00 1,103.70 1.06 5.61
Class B 1,000.00 1,104.90 0.88 4.66
JNL/Putnam Value Equity Fund
Class A 1,000.00 1,066.40 0.96 4.99
Class B 1,000.00 1,067.50 0.74 3.85
JNL/S&P Managed Aggressive Growth Fund
Class A 1,000.00 1,086.00 0.18 0.94
JNL/S&P Managed Conservative Fund (a)
Class A 1,000.00 1,035.00 0.18 0.92
JNL/S&P Managed Growth Fund
Class A 1,000.00 1,081.80 0.17 0.89
JNL/S&P Managed Moderate Fund (a)
Class A 1,000.00 1,054.00 0.18 0.93
JNL/S&P Managed Moderate Growth Fund
Class A 1,000.00 1,072.20 0.18 0.94
JNL/Salomon Brothers High Yield Bond Fund
Class A 1,000.00 1,075.50 0.82 4.28
Class B 1,000.00 1,076.90 0.61 3.18
JNL/Salomon Brothers Strategic Bond Fund
Class A 1,000.00 1,070.10 0.94 4.89
Class B 1,000.00 1,070.40 0.72 3.75
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
Class A 1,000.00 1,040.30 0.79 4.05
Class B 1,000.00 1,042.00 0.60 3.08
JNL/Select Balanced Fund
Class A 1,000.00 1,075.60 0.80 4.17
Class B 1,000.00 1,076.70 0.56 2.92
JNL/Select Global Growth Fund
Class A 1,000.00 1,078.90 1.10 5.75
Class B 1,000.00 1,080.60 0.82 4.29
JNL/Select Large Cap Growth Fund
Class A 1,000.00 1,026.60 0.99 5.04
Class B 1,000.00 1,027.60 0.77 3.92
JNL/Select Money Market Fund
Class A 1,000.00 1,005.70 0.61 3.08
Class B 1,000.00 1,006.80 0.40 2.02
JNL/Select Value Fund
Class A 1,000.00 1,089.90 0.86 4.52
Class B 1,000.00 1,090.80 0.66 3.47
JNL/T.Rowe Price Established Growth Fund
Class A 1,000.00 1,073.30 0.92 4.79
Class B 1,000.00 1,074.10 0.73 3.81
JNL/T.Rowe Price Mid-Cap Growth Fund
Class A 1,000.00 1,097.00 1.02 5.38
Class B 1,000.00 1,098.10 0.81 4.27
JNL/T.Rowe Price Value Fund
Class A 1,000.00 1,098.70 0.99 5.22
Class B 1,000.00 1,098.70 0.79 4.17
Hypothetical 5% Return
---------------------------------------------------------------
---------------------------------------------------------------
Beginning Ending Expenses
Account Account Annualized Paid
Value Value Expense During
6/30/2004 12/31/2004 Ratios Period
---------------- -------------- ------------- ---------------
---------------- -------------- ------------- ---------------
JNL/AIM Large Cap Growth Fund
Class A $ 1,000.00 $ 1,019.82 1.06 % $ 5.38
Class B 1,000.00 1,020.80 0.86 4.37
JNL/AIM Small Cap Growth Fund
Class A 1,000.00 1,019.31 1.16 5.89
Class B 1,000.00 1,020.26 0.97 4.93
JNL/Alger Growth Fund
Class A 1,000.00 1,020.06 1.01 5.13
Class B 1,000.00 1,021.11 0.80 4.06
JNL/Alliance Capital Growth Fund
Class A 1,000.00 1,020.69 0.89 4.52
Class B 1,000.00 1,021.37 0.75 3.81
JNL/Eagle Core Equity Fund
Class A 1,000.00 1,020.30 0.96 4.88
Class B 1,000.00 1,021.28 0.77 3.91
JNL/Eagle SmallCap Equity Fund
Class A 1,000.00 1,019.82 1.06 5.38
Class B 1,000.00 1,020.85 0.85 4.32
JNL/FMR Balanced Fund
Class A 1,000.00 1,020.07 1.01 5.13
Class B 1,000.00 1,021.26 0.77 3.91
JNL/FMR Capital Growth Fund
Class A 1,000.00 1,020.07 1.01 5.13
Class B 1,000.00 1,021.17 0.79 4.01
JNL/JPMorgan International Value Fund
Class A 1,000.00 1,019.47 1.13 5.74
Class B 1,000.00 1,020.37 0.95 4.82
JNL/Lazard Mid Cap Value Fund
Class A 1,000.00 1,019.73 1.07 5.43
Class B 1,000.00 1,020.72 0.88 4.47
JNL/Lazard Small Cap Value Fund
Class A 1,000.00 1,019.52 1.12 5.69
Class B 1,000.00 1,020.62 0.90 4.57
JNL/Mellon Capital Management Bond Index Fund
Class A 1,000.00 1,022.08 0.61 3.10
Class B 1,000.00 1,023.08 0.41 2.08
JNL/Mellon Capital Management Enhanced S&P 500 Stock Index Fund
Class A 1,000.00 1,021.25 0.77 3.91
Class B 1,000.00 1,022.29 0.57 2.90
JNL/Mellon Capital Management International Index Fund
Class A 1,000.00 1,021.83 0.66 3.35
Class B 1,000.00 1,022.82 0.46 2.34
JNL/Mellon Capital Management S&P 400 Mid Cap Index Fund
Class A 1,000.00 1,022.13 0.60 3.05
Class B 1,000.00 1,023.14 0.40 2.03
JNL/Mellon Capital Mangement S&P 500 Index Fund
Class A 1,000.00 1,022.13 0.60 3.05
Class B 1,000.00 1,023.13 0.40 2.03
JNL/Mellon Capital Management Small Cap Index Fund
Class A 1,000.00 1,022.13 0.60 3.05
Class B 1,000.00 1,023.13 0.40 2.03
JNL/Oppenheimer Global Growth Fund
Class A 1,000.00 1,019.82 1.06 5.38
Class B 1,000.00 1,020.82 0.86 4.37
JNL/Oppenheimer Growth Fund
Class A 1,000.00 1,020.06 1.01 5.13
Class B 1,000.00 1,020.84 0.85 4.32
JNL/PIMCO Total Return Bond Fund
Class A 1,000.00 1,021.07 0.81 4.12
Class B 1,000.00 1,022.09 0.61 3.10
JNL/Putnam Equity Fund
Class A 1,000.00 1,020.19 0.98 4.98
Class B 1,000.00 1,021.22 0.78 3.96
JNL/Putnam International Equity Fund
Class A 1,000.00 1,019.42 1.14 5.79
Class B 1,000.00 1,020.61 0.90 4.57
JNL/Putnam Midcap Growth Fund
Class A 1,000.00 1,019.81 1.06 5.38
Class B 1,000.00 1,020.74 0.88 4.47
JNL/Putnam Value Equity Fund
Class A 1,000.00 1,020.30 0.96 4.88
Class B 1,000.00 1,021.40 0.74 3.76
JNL/S&P Managed Aggressive Growth Fund
Class A 1,000.00 1,024.23 0.18 0.92
JNL/S&P Managed Conservative Fund (a)
Class A 1,000.00 1,024.23 0.18 0.92
JNL/S&P Managed Growth Fund
Class A 1,000.00 1,024.30 0.17 0.87
JNL/S&P Managed Moderate Fund (a)
Class A 1,000.00 1,024.23 0.18 0.92
JNL/S&P Managed Moderate Growth Fund
Class A 1,000.00 1,024.22 0.18 0.92
JNL/Salomon Brothers High Yield Bond Fund
Class A 1,000.00 1,021.04 0.82 4.17
Class B 1,000.00 1,022.05 0.61 3.10
JNL/Salomon Brothers Strategic Bond Fund
Class A 1,000.00 1,020.41 0.94 4.77
Class B 1,000.00 1,019.82 0.72 3.66
JNL/Salomon Brothers U.S. Government & Quality Bond Fund
Class A 1,000.00 1,021.14 0.79 4.01
Class B 1,000.00 1,022.12 0.60 3.05
JNL/Select Balanced Fund
Class A 1,000.00 1,021.12 0.80 4.06
Class B 1,000.00 1,022.30 0.56 2.85
JNL/Select Global Growth Fund
Class A 1,000.00 1,019.62 1.10 5.58
Class B 1,000.00 1,021.01 0.82 4.17
JNL/Select Large Cap Growth Fund
Class A 1,000.00 1,020.17 0.99 5.03
Class B 1,000.00 1,021.29 0.77 3.91
JNL/Select Money Market Fund
Class A 1,000.00 1,022.08 0.61 3.10
Class B 1,000.00 1,023.14 0.40 2.03
JNL/Select Value Fund
Class A 1,000.00 1,020.82 0.86 4.37
Class B 1,000.00 1,021.82 0.66 3.35
JNL/T.Rowe Price Established Growth Fund
Class A 1,000.00 1,020.50 0.92 4.67
Class B 1,000.00 1,021.48 0.73 3.71
JNL/T.Rowe Price Mid-Cap Growth Fund
Class A 1,000.00 1,019.99 1.02 5.18
Class B 1,000.00 1,021.07 0.81 4.12
JNL/T.Rowe Price Value Fund
Class A 1,000.00 1,020.15 0.99 5.03
Class B 1,000.00 1,021.16 0.79 4.01
(a) Period from October 4, 2004 (commencement of operations).
Additional Disclosure (Unaudited)
Proxy Voting Information
A description of the policies and procedures that the Registrants use to
determine how to vote proxies related to portfolio securities is available (i)
without charge, upon request, by calling Shareholder Services toll-free at
800-644-4563; (ii) on the Registrants' website at www.jnl.com and (iii) on the
Securities and Exchange Commission's (SEC) website at www.sec.gov. Information
regarding how the Registrants voted proxies related to portfolio securities
during the most recent 12-month period ended June 30 is available without charge
on the Registrants' website at www.jnl.com and on the SEC website at
www.sec.gov.
Quarterly Portfolio Holdings
The Registrants file their complete schedule of portfolio holdings with the
Commission for the first and third quarters of each fiscal year on Form N-Q. The
Registrants' Forms N-Q are available on the SEC's website at www.sec.gov. The
Registrant's Forms N-Q may be reviewed and copied at the Commissions Public
Reference Room in Washington, DC, and information on the operation of the Public
Reference Room may be obtained by calling 800-SEC-0330; and is available upon
request from the Registrants by calling Shareholder Services toll-free at
800-644-4563.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of JNL Series Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of each series within JNL Series Trust (the
"Series") as listed in Note 1 of the financial statements at December 31, 2004,
and the related statements of operations for the year or period then ended, the
statements of changes in net assets for each of the years or periods in the
two-year period then ended, and the financial highlights for each of the years
or periods in the four-year period then ended. These financial statements and
the financial highlights are the responsibility of the Series' management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits. The financial highlights presented for
the period prior to 2001 were audited by other auditors, whose report dated
February 2, 2001, expressed an unqualified opinion.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and the financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 2004, by correspondence with
the custodian and brokers, or by other appropriate auditing procedures. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and the financial highlights referred
to above present fairly, in all material respects, the financial position of
each series within JNL Series Trust at December 31, 2004, the results of their
operations for the year or period then ended, the changes in their net assets
for each of the years or periods in the two-year period then ended, and the
financial highlights for each of the years or periods in the four-year period
then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Chicago, Illinois
February 15, 2005
TRUSTEES AND OFFICERS OF THE TRUST
NUMBER OF
CURRENT PORTFOLIOS IN THE
POSITION FUND COMPLEX OTHER
TRUSTEE/OFFICER (AGE) AND WITH THE LENGTH OF TIME PRINCIPAL OCCUPATION OVERSEEN BY THE TRUSTEESHIPS HELD
ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE BY THE TRUSTEE
- -------------------------------
INTERESTED TRUSTEES
Robert A. Fritts* (56) Trustee 8/97 to Present Senior Vice President 66 None
1 Corporate Way and Controller of
Lansing, MI 48951 President 12/02 to Present Jackson National Life
and Chief Insurance Company (9/03
Executive to Present); Vice
Officer President and
Controller of
Jackson
National Life
Insurance
Company (8/82
to 8/03);
Trustee or
Manager, and
(since 12/02)
President and
Chief
Executive
Officer of
each other
investment
company in the
Fund Complex.
DISINTERESTED TRUSTEES
Michael Bouchard (48) Trustee 12/03 to Present Sheriff, Oakland 66 None
1 Corporate Way County, Michigan (1/99
Lansing, MI 48951 to Present)
Senator - State of
Michigan (1991-1999)
Chairman - Financial
Services Committee
(1/95 to 1/99)
Dominic D'Annunzio (66) Chairman 2/04 to Present Acting Commissioner of 66 None
1 Corporate Way of the Insurance for the State
Lansing, MI 48951 Board of Michigan (1/90 to
5/90) (8/97 to 5/98)
Trustee 2/02 to Present
Michelle Engler (46) Trustee 12/03 to Present Attorney (1983 to 66 Director of
1 Corporate Way Present) Federal Home Loan
Lansing, MI 48951 First Lady of the State Mortgage
of Michigan (1990-2002) Corporation
Michigan Community
Service Commission
Chair (1991-2000)
Joseph Frauenheim (70) Trustee 12/94 to Present Consultant (Banking) 66 None
1 Corporate Way
Lansing, MI 48951
Richard McLellan (62) Trustee 12/94 to Present Member, Dykema Gossett 66 None
1 Corporate Way PLLC (law firm)
Lansing, MI 48951
- ----------------------
* Mr. Fritts is an "interested person" of the Trust due to his position with
Jackson National Life Insurance Company, which is the parent company of the
Adviser and Distributor.
TRUSTEES AND OFFICERS OF THE TRUST
NUMBER OF
CURRENT PORTFOLIOS IN THE
POSITION FUND COMPLEX OTHER
TRUSTEE/OFFICER (AGE) AND WITH THE LENGTH OF TIME PRINCIPAL OCCUPATION OVERSEEN BY THE TRUSTEESHIPS HELD
ADDRESS TRUST SERVED FOR THE PAST 5 YEARS TRUSTEE BY THE TRUSTEE
- --------------------------------
OFFICERS
Mark D. Nerud (38) Vice 8/97 to Present Chief Financial Officer Not Applicable Not Applicable
225 West Wacker Drive President of the Adviser (11/00
Chicago, IL 60606 to Present); Vice
Treasurer, 12/02 to President, Treasurer,
and Chief Present Chief Financial Officer
Financial of other Investment
Officer Companies advised by
the Adviser; Vice
President - Fund
Accounting &
Administration of
Jackson National Life
Insurance Company (1/00
to Present)
Susan S. Rhee (33) Vice 2/04 to Secretary of the Not Applicable Not Applicable
1 Corporate Way President, Present Adviser (11/00 to
Lansing, MI 48951 Counsel Present); Assistant
and Vice President of
Secretary Jackson National Life
Insurance Company (8/03
to Present); Associate
General Counsel of
Jackson National Life
Insurance Company (7/01
to Present), Senior
Attorney of Jackson
National Life Insurance
Company (1/00 to 7/01);
Goldman, Sachs & Co.
(10/99 to 12/99); Van
Eck Associates
Corporation (9/97 to
10/99)
The Statement of Additional Information includes additional information about
Fund Trustees and may be obtained at no charge by calling 1-800-766-4683
(Annuity Service Center), 1-800-599-5651 (NY Annuity Service Center) or
1-800-777-7779 (for contracts purchased through a bank or financial
institution), or writing the JNL Series Trust Service Center, P.O. Box 378002,
Denver, Colorado 80237-8003 or by visiting www.jnl.com or www.jnlny.com.
TRUSTEES OF THE JNL SERIES TRUST
The Trustees and officers are interested persons of the Trust or the Adviser and
do not receive any compensation from the Trust for their services as Trustees or
officers. The following persons, who are disinterested Trustees of the Trust,
received from the Trust the compensation amounts indicated for the services as
such.
PENSION OR RETIREMENT ESTIMATED
BENEFITS ACCRUED AS ANNUAL
AGGREGATE PART OF BENEFITS UPON TOTAL COMPENSATION FROM
COMPENSATION TRUST EXPENSES RETIREMENT TRUST AND FROM FUND
TRUSTEE FROM TRUST* COMPLEX
Joseph Frauenheim $82,500 $0 $0 $82,500
Richard McLellan $77,500 $0 $0 $77,500
Dominic D'Annunzio $87,500 $0 $0 $87,500**
Michael Bouchard $77,500 $0 $0 $77,500
Michelle Engler $77,500 $0 $0 $77,500
* The fees paid to the independent Trustees are paid for combined meetings of
the funds in the fund complex. The fees are allocated to the funds and it
affiliated investment companies on a pro-rata basis based on net assets.
**Mr. D'Annunzio deferred $19,583.32.
PROXY VOTING GUIDELINES
Jackson National Asset Management, LLC, the fund's adviser, is responsible for
exercising the voting rights associated with the securities purchased and/or
held by the funds. A description of the policies and procedures used by the
Funds to vote proxies relating to the portfolio securities and information on
how the Funds voted proxies relating to portfolio securities during the 12 month
period ended June 30 are available (1) without charge, upon request by calling
1-800-766-4683 (Annuity Service Center), 1-800-599-5651 (NY Annuity Service
Center) or 1-800-777-7779 (for contracts purchased through a bank or financial
institution), (2) on Jackson National Life Insurance Company's website at
www.jnl.com or Jackson National Life Insurance Company of New York's website at
www.jnlny.com, and (3) on the Securities and Exchange Commission's website at
www.sec.gov.
Item 2. Code of Ethics
As of the end of the period covered by this report, the Registrant has adopted a
code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal
executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions. A copy of this code of
ethics is filed as an exhibit to this Form N-CSR. Amendments were approved in
order to comply with the amendments of Rule 17j-1. No waivers were granted to
this code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The Registrant does not have a Financial Expert on its Board. The Registrant has
determined that the financials do not involve the complexities of public company
financials and that the accounting methodologies of investment companies are
well established under the Investment Company Act of 1940 and therefore, a
financial expert is not necessary.
Item 4. Principal Accountant Fees and Services.
KPMG billed the Company aggregate fees for professional services rendered for
the fiscal years ending December 31, 2004, and December 31, 2003, as follows:
2004
Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees
JNL Series Trust $ 326,500 $ 17,250 $62,813 $ 0 $ 406,563
2003
Company Audit Fees Audit-Related Fees Tax Fees All Other Fees Total Fees
JNL Series Trust $411,302 $26,523 $84,460 $0 $522,285
(e)(1) The Audit Committee is authorized to pre-approve non-audit services
provided by the Fund's auditors, if they find it appropriate in light of their
fiduciary duties and in the exercise of their good faith business judgment and
compatible with the auditors' independence. The Chairman of the Audit Committee
is authorized to approve audit and non-audit services for newly established
funds of the Fund on the same terms as the full Audit Committee previously had
approved for the then existing funds.
(e)(2) None
(f) 0%
(g) KPMG was paid $27,600 for 2004 and $26,523 for 2003 to perform an internal
control review pursuant to SAS No. 70 related to JNAM's fund accounting
procedures. For the fiscal years ended December 31, 2003 and December 31, 2004,
KPMG did not provide any other non-audit services to JNAM and its affiliates
that provide ongoing services to the Company, other then the SAS 70.
(h) The Audit Committee pre-approved the SAS No. 70 review described above when
the Audit Committee approved KPMG as Auditors for fiscal years 2004 and 2003,
and did not find provision of these services to be incompatible with maintaining
the auditors independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable as this is not a listed issuer as defined in Rule 10A-3 under the
Exchange Act.
Item 6. Schedule of Investments
Included as a Part of the Report to Shareholders filed under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable as this is an Open-End Management Investment Company.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable as this is an Open-End Management Investment Company.
Item 9. Purchases of Equity Securties by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable as this is an Open-End Management Investment Company.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes have been made.
Item 11. Controls and Procedures.
(a) In order to ensure that the information that we must disclose in our
filings with the Securities and Exchange Commission is recorded, processed,
summarized and reported on a timely basis, we have adopted disclosure controls
and procedures. Our President and Chief Executive Officer, Robert A. Fritts, and
our Chief Financial Officer, Mark D. Nerud, have reviewed and evaluated our
disclosure controls and procedures as of February 24, 2005, and have concluded
that our disclosure controls and procedures are effective.
(b) There was no change in our internal control over financial reporting
during our last fiscal half-year that has materially affected, or is reasonably
likely to materially affect, our internal control over financial reporting.
Item 12. Exhibits
a. (1) The Registrant's code of ethics pursuant to Item 2 of Form N-CSR
is attached.
(2) The certifications required by Rule 30a-2 of the Investment
Company Act of 1940, as amended, are attached hereto.
(3) Not Applicable.
b. (1)The certification required by Rule 30a-2(b) fo the Investment
Company Act of 1940, as amended, and Section 906 of the
Sarbanes-Oxley Act of 2002, is attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Act and the Investment
Company Act, the Registrant has duly caused this Report to be signed on
its behalf by the undersigned, duly authorized, in the City of Lansing and the
State of Michigan on the 4th day of March 2005.
JNL SERIES TRUST
(Registrant)
By: /s/ Robert A. Fritts
--------------------------------------------------
Robert A. Fritts
President, CEO and Trustee
Pursuant to the requirements of the Securities Act, this Report has been
signed below by the following persons in the capacities and on the date
indicated.
/s/ Robert A. Fritts March 4, 2005
- ---------------------- ----------------
Robert A. Fritts
President, Chief Executive Officer & Trustee
/s/ Mark D. Nerud March 4, 2005
- ----------------------- ----------------
Mark D. Nerud
Chief Financial Officer
EXHIBIT LIST
Exhibit 12(a)(1) Registrant's Code of Ethics.
Exhibit 12(a)(2) Certification of the Principal Executive Officer
required by Rule 30a-2(a) under the Act.
Certification of the Principal Financial Officer
required by Rule 30a-2(a) under the Act.
Exhibit 12(b)(1) Certification required by Rule 30a-2(b) under the Act.